VaR seviyesi kısıtları altında karı maksimize eden optimal saklama payı

Yıl 2017, Cilt: 10 Sayı: 1, 49 - 58, 30.06.2017

Murat Büyükyazıcı

Öz

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.

Anahtar Kelimeler

Toplam hasar fazlası reasürans, saklama payı, kar maksimizasyonu, beklenen değer prim ilkesi, standart sapma prim ilkesi, riske-maruz-değer (VaR), etkin sınır, benzetim optimizasyonu.

Optimal retention for profit maximizing under VaR levels constraints

Öz

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.

Anahtar Kelimeler

Stop-loss reinsurance, retention, profit maximization, expected value premium principle, standard deviation premium principle, value-at-risk (VaR), efficient frontier, simulation optimization.

Kaynakça

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