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Journals / İstatistikçiler Dergisi:İstatistik ve Aktüerya / 2017 / Cilt: 10 Sayı: 1

Optimal retention for profit maximizing under VaR levels constraints

VaR seviyesi kısıtları altında karı maksimize eden optimal saklama payı

Murat BÜYÜKYAZICI
Pages
49–58
Publication Date
2017-06-30
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Efficient frontier analysis is carried out to investigate maximum profit obtainable for a given risk level and minimum risk level obtainable for a given mean return under stop-loss reinsurance.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:We consider the problem of finding the optimal retention that maximizes the insurer's profit under different value-at-risk level constraints.
📊
Key Findings & Data:We propose simulation optimization for the determination of optimal retention in stop-loss reinsurance using a package program which incorporates a simulation optimizer.
💡
Conclusion & Impact:Efficient frontier analysis is carried out to investigate maximum profit obtainable for a given risk level and minimum risk level obtainable for a given mean return under stop-loss reinsurance.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Toplam hasar fazlası reasürans · saklama payı · kar maksimizasyonu

Abstract

We consider the problem of finding the optimal retention that maximizes the insurer's profit under different value-at-risk level constraints. We propose simulation optimization for the determination of optimal retention in stop-loss reinsurance using a package program which incorporates a simulation optimizer. Efficient frontier analysis is carried out to investigate maximum profit obtainable for a given risk level and minimum risk level obtainable for a given mean return under stop-loss reinsurance.

Özet

Farklı riske-maruz-değer (VaR) seviyesi kısıtları altında sigortacının karını maksimize eden optimal saklama payı problemi incelenmiştir. Toplam hasar fazlası reasürans anlaşmalarında optimal saklama payının belirlenmesinde, benzetim optimizasyonu içeren bir paket program kullanımı önerilmektedir. Toplam hasar fazlası reasürans anlaşması altında verilen bir risk seviyesi için elde edilebilecek maksimum kar ve verilen bir ortalama getiri için elde edilebilecek minimum risk seviyesi etkin sınır analizi ile belirlenmiştir.

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Cite This Article

BÜYÜKYAZICI, M. (2017). Optimal retention for profit maximizing under VaR levels constraints. İstatistikçiler Dergisi:İstatistik ve Aktüerya, Cilt: 10 Sayı: 1, 49–58. https://ajindex.com/articles/907272

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