A Review on Optimal Reinsurance under Ruin Probability Constraint

Başak Bulut Karageyik; Şule Şahin

Review

İflas olasılığı kısıtı altında optimal reasürans üzerine bir derleme

Year 2016, Volume: 9 Issue: 1, 26 - 36, 25.06.2016

Başak Bulut Karageyik Şule Şahin

Abstract

kullanılan yöntemler araştırılmıştır. Bu kapsamda, iflas olasılığına bağlı optimal reasüransın incelendiği

literatürdeki çalışmalar derlenerek kullanılan yöntemler sınıflandırılmıştır. Literatürdeki çalışmaların

incelenmesiyle iflas olasılığı kısıtı altında optimal reasürans üzerine yapılan çalışmaların düzeltme katsayısı

(adjustment coefficient), reasürans anlaşmaları, yatırım-optimizasyon teknikleri ve temettü ödemeleri olmak

üzere dört temel yaklaşım altında incelendiği belirlenmiştir.

Keywords

İflas Olasılığı, Risk Kuramı, Optimal Reasürans

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