Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer

Murat BUYUKYAZICI, (Girilmemişş)
Betul Zehra KARAGUL (Girilmemişş)
Gazi University Journal of Science
1 0
Yıl: 2020 Cilt: 33 Sayı: 2 Sayfa Aralığı: 579 - 590 Metin Dili: İngilizce DOI: 10.35378/gujs.529132 İndeks Tarihi: 04-11-2020

Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer

Öz:
Many optimal reinsurance studies in the literature only take into consideration the insurer.However, there are two parties in reinsurance contracts. The aim of the study is to contribute tothe optimal reinsurance literature by considering the interests of both the insurer and the reinsurer.A reasonable compromise between their interests is desired. Then, we examine the optimalretention problem that minimizes the absolute value of the difference between the insurer’s andthe reinsurer’s profits under stop-loss and excess-of-loss reinsurance arrangements. With a nonnegative random variable, we incorporate the stochastic essence of the aggregate loss for thereinsurer’s and insurer’s profits into the model. For reinsurance premium calculation we use twodifferent premium principles and for aggregate loss we use exponential, Pareto and lognormaldistributions. The results of the studies only deal with the benefits of the insurer and the studiesconsider both the benefits of the insurer and reinsurer are compared. Our findings can be helpfulfor insurance companies and reinsurer companies in their decision making task. For simulationstudies in the model MATLAB programming language is used
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA Büyükyazıcı M, Karagül B (2020). Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer. , 579 - 590. 10.35378/gujs.529132
Chicago Büyükyazıcı Murat,Karagül Betül Zehra Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer. (2020): 579 - 590. 10.35378/gujs.529132
MLA Büyükyazıcı Murat,Karagül Betül Zehra Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer. , 2020, ss.579 - 590. 10.35378/gujs.529132
AMA Büyükyazıcı M,Karagül B Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer. . 2020; 579 - 590. 10.35378/gujs.529132
Vancouver Büyükyazıcı M,Karagül B Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer. . 2020; 579 - 590. 10.35378/gujs.529132
IEEE Büyükyazıcı M,Karagül B "Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer." , ss.579 - 590, 2020. 10.35378/gujs.529132
ISNAD Büyükyazıcı, Murat - Karagül, Betül Zehra. "Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer". (2020), 579-590. https://doi.org/10.35378/gujs.529132
APA Büyükyazıcı M, Karagül B (2020). Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer. Gazi University Journal of Science, 33(2), 579 - 590. 10.35378/gujs.529132
Chicago Büyükyazıcı Murat,Karagül Betül Zehra Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer. Gazi University Journal of Science 33, no.2 (2020): 579 - 590. 10.35378/gujs.529132
MLA Büyükyazıcı Murat,Karagül Betül Zehra Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer. Gazi University Journal of Science, vol.33, no.2, 2020, ss.579 - 590. 10.35378/gujs.529132
AMA Büyükyazıcı M,Karagül B Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer. Gazi University Journal of Science. 2020; 33(2): 579 - 590. 10.35378/gujs.529132
Vancouver Büyükyazıcı M,Karagül B Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer. Gazi University Journal of Science. 2020; 33(2): 579 - 590. 10.35378/gujs.529132
IEEE Büyükyazıcı M,Karagül B "Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer." Gazi University Journal of Science, 33, ss.579 - 590, 2020. 10.35378/gujs.529132
ISNAD Büyükyazıcı, Murat - Karagül, Betül Zehra. "Optimal Reinsurance Minimizing the Absolute Value of the Difference between the Profits of the Insurer and the Reinsurer". Gazi University Journal of Science 33/2 (2020), 579-590. https://doi.org/10.35378/gujs.529132
Sayfa Oluşturulma Tarihi
23-04-2024 14:46

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