Μελέτη της συνάρτησης εκχώρησης προμηθειών για αντασφαλιστικά σχήματα Quota Share
A study of the sliding commission scale for Quota Share treaties
Ξενογιώργη, Ζωή - Μαρία
KeywordsΑντασφάλιση ; Διαχείριση κινδύνου ; Διαχείριση χαρτοφυλακίου ; Μοντέλα βελτιστοποίησης ; Σύμβαση σταθερού ποσοστού ; Στατιστική ανάλυση ; Value at Risk ; Quota Share ; Conditional Tail Expectation (CTE)
In the context of this dissertation we will define the concept of reinsurance. Subsequently we will shortly present its development through the course of time. Furthermore, we will discuss in detail the most important types of reinsurance as well as their advantages/disadvantages for the insurer and the reinsurer. Moreover, we will focus on the Quota Share reinsurance treaty and we will try to determine the optimal ceding percentage for a portfolio of losses, by using the risk measures; Value At Risk (VaR) and Conditional Tail Expectation (CTE). To be more specific, we are going to be structuring our analysis on optimization models that minimize the aforementioned risk measures of the insurer’s total cost in order to find the optimal Quota Share reinsurance treaty by using specific premium principles. Lastly, we will investigate the effect of three different sliding commission scale structures on the optimal reinsurance treaty, on which we have concluded.