İflas olasılığı kısıtı altında optimal reasürans üzerine bir derleme

Yıl 2016, Cilt: 9 Sayı: 1, 26 - 36, 25.06.2016

Başak Bulut Karageyik , Şule Şahin

Öz

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.

Anahtar Kelimeler

İflas Olasılığı, Risk Kuramı, Optimal Reasürans

A Review on Optimal Reinsurance under Ruin Probability Constraint

Öz

reinsurance under the ruin probability constraint. In this context, we review the literature relevant to the

optimal reinsurance under the ruin probability constraint and categorized current methods. The literature

review on optimal reinsurance under the ruin probability constraint is mainly focus on four major aspects:

reinsurance arrangement, adjustment coefficient, investment and dynamic optimization techniques, and

dividend payments.

Anahtar Kelimeler

Ruin Probability, Risk Theory, Optimal Reinsurance

Kaynakça

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