Optimal premium allocation under stop-loss insurance using exposure curves

Mert, Özenç Murat; Selcuk-Kestel, Ayse Sevtap

doi:10.15672/hujms.889619

Optimal premium allocation under stop-loss insurance using exposure curves

Özenç Murat Mert, (Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü, Ankara, Türkiye)

A. Sevtap SELÇUK KESTEL (Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü, Ankara, Türkiye)

Hacettepe Journal of Mathematics and Statistics

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Yıl: 2022 Cilt: 51 Sayı: 1 Sayfa Aralığı: 288 - 307 Metin Dili: İngilizce DOI: 10.15672/hujms.889619 İndeks Tarihi: 11-04-2023

Optimal premium allocation under stop-loss insurance using exposure curves

Öz:

Determining the retention level in the stop-loss insurance risk premium for both insurer and reinsurer is an important factor in pricing. This paper aims to set optimal reinsurance with respect to the joint behavior of the insurer and the reinsurer under stop-loss contracts. The dependence between the costs of insurer and reinsurer is expressed as a function of retention (d) and maximum-cap (m) levels. Based on the maximum degree of correlation, the optimal levels for d and m are derived under certain claim distributions (Pareto, Gamma and Inverse Gamma). Accordingly, the risk premium and exposure curves for both parties are based on the selected distributions. Quantification of the premium share over derived exposure curves based on the optimized retention and maximum levels and the maximum loss risk is obtained using VaR and CVaR as risk measures.

Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	Mert Ö, Selcuk-Kestel A (2022). Optimal premium allocation under stop-loss insurance using exposure curves. , 288 - 307. 10.15672/hujms.889619
Chicago	Mert Özenç Murat,Selcuk-Kestel Ayse Sevtap Optimal premium allocation under stop-loss insurance using exposure curves. (2022): 288 - 307. 10.15672/hujms.889619
MLA	Mert Özenç Murat,Selcuk-Kestel Ayse Sevtap Optimal premium allocation under stop-loss insurance using exposure curves. , 2022, ss.288 - 307. 10.15672/hujms.889619
AMA	Mert Ö,Selcuk-Kestel A Optimal premium allocation under stop-loss insurance using exposure curves. . 2022; 288 - 307. 10.15672/hujms.889619
Vancouver	Mert Ö,Selcuk-Kestel A Optimal premium allocation under stop-loss insurance using exposure curves. . 2022; 288 - 307. 10.15672/hujms.889619
IEEE	Mert Ö,Selcuk-Kestel A "Optimal premium allocation under stop-loss insurance using exposure curves." , ss.288 - 307, 2022. 10.15672/hujms.889619
ISNAD	Mert, Özenç Murat - Selcuk-Kestel, Ayse Sevtap. "Optimal premium allocation under stop-loss insurance using exposure curves". (2022), 288-307. https://doi.org/10.15672/hujms.889619

APA	Mert Ö, Selcuk-Kestel A (2022). Optimal premium allocation under stop-loss insurance using exposure curves. Hacettepe Journal of Mathematics and Statistics, 51(1), 288 - 307. 10.15672/hujms.889619
Chicago	Mert Özenç Murat,Selcuk-Kestel Ayse Sevtap Optimal premium allocation under stop-loss insurance using exposure curves. Hacettepe Journal of Mathematics and Statistics 51, no.1 (2022): 288 - 307. 10.15672/hujms.889619
MLA	Mert Özenç Murat,Selcuk-Kestel Ayse Sevtap Optimal premium allocation under stop-loss insurance using exposure curves. Hacettepe Journal of Mathematics and Statistics, vol.51, no.1, 2022, ss.288 - 307. 10.15672/hujms.889619
AMA	Mert Ö,Selcuk-Kestel A Optimal premium allocation under stop-loss insurance using exposure curves. Hacettepe Journal of Mathematics and Statistics. 2022; 51(1): 288 - 307. 10.15672/hujms.889619
Vancouver	Mert Ö,Selcuk-Kestel A Optimal premium allocation under stop-loss insurance using exposure curves. Hacettepe Journal of Mathematics and Statistics. 2022; 51(1): 288 - 307. 10.15672/hujms.889619
IEEE	Mert Ö,Selcuk-Kestel A "Optimal premium allocation under stop-loss insurance using exposure curves." Hacettepe Journal of Mathematics and Statistics, 51, ss.288 - 307, 2022. 10.15672/hujms.889619
ISNAD	Mert, Özenç Murat - Selcuk-Kestel, Ayse Sevtap. "Optimal premium allocation under stop-loss insurance using exposure curves". Hacettepe Journal of Mathematics and Statistics 51/1 (2022), 288-307. https://doi.org/10.15672/hujms.889619