Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/178584
Authors: 
Karageyik, Başak Bulut
Şahin, Şule
Year of Publication: 
2017
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 10 [Year:] 2017 [Issue:] 1 [Pages:] 1-21
Abstract: 
This paper deals with the optimal retention level under four competitive criteria: survival probability, expected profit, variance and expected shortfall of the insurer's risk. The aggregate claim amounts are assumed to be distributed as compound Poisson, and the individual claim amounts are distributed exponentially. We present an approach to determine the optimal retention level that maximizes the expected profit and the survival probability, whereas minimizing the variance and the expected shortfall of the insurer's risk. In the decision making process, we concentrate on multi-attribute decision making methods: the Technique for Order of Preference by Similarity to Ideal Solution (TOPSIS) and the VlseKriterijumska Optimizacija I Kompromisno Resenje (VIKOR) methods with their extended versions. We also provide comprehensive analysis for the determination of the optimal retention level under both the expected value and standard deviation premium principles.
Subjects: 
optimal reinsurance
survival probability
expected profit
expected shortfall
variance of the insurer&#x2019
s risk
TOPSIS
VIKOR
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
Social Media Mentions:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.