Optimal retention limit with Monte Carlo stochastic optimization

Öz

In this study, VaR (Value-at-Risk) risk measure which is commonly used in financial sector in recent years, are

analyzed by minimizing cedent’s total risk of exposure using Monte Carlo Stochastic optimization method, with

calculating the optimal retention limit in terms of expected and standart deviation premium principles under

the stop loss reinsurance contract for the cedent. Thus, it is revealed that, in the circumstances, when analytic

solution is not achieved, the optimal retention limit can be achieved by Monte Carlo optimization method.

Anahtar Kelimeler

• Reinsurance,Stop loss,Optimal retention limit,Value-at-Risk (VaR),Monte Carlo optimization,Stochastic optimization.

Monte Carlo stokastik optimizasyonu ile optimal saklama payı seviyesi hesabı

Öz

Bu çalmada, son yllarda finans sektöründe yaygn olarak kullanlan riske maruz de#er (Value-at-Risk,

VaR) risk ölçüsü ile toplam hasar fazlas reasürans yöntemi altnda beklenen ve standart sapma prim ilkeleri

açsndan sigortacnn maruz kalaca# toplam ödemeyi Monte Carlo stokastik optimizasyon yöntemi ile

minimize ederek sigortac için optimal saklama paynn hesaplanmas incelenmitir. Böylece analitik

çözümün elde edilemedi#i durumlarda optimal saklama paynn Monte Carlo stokastik optimizasyon yöntemi

ile elde edilebilece#i gösterilmitir.

Anahtar Kelimeler

• Reasürans, Toplam hasar fazlası, Optimal saklama payı, Riske maruz değer (VaR), Monte Carlo optimizasyon, Stokastik optimizasyon.

Kaynakça

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