Reinsurance pricing using exposure curve of two dependent risks

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü, Aktüerya Bilimleri Anabilim Dalı, Türkiye

Tezin Onay Tarihi: 2018

Tezin Dili: İngilizce

Öğrenci: GÜLÇİN AKARSU

Eş Danışman: Maria De Lourdes Centena

Danışman: Sevtap Ayşe Kestel

Özet:

It is known that experience rating and exposure rating are used for insurance and reinsurance pricing by many practitioners. One of the main tools of exposure rating which is commonly used is exposure curves. It evaluates the percents of pure risk premium shared by insurer and reinsurer. In practice, the exposure curves which depend solely on claim history are widely utilized as an important indicator to determine the price and retention level based on the preferences and strategies of the insurer and reinsurer. The aim of this study is to present exposure curves, their use and statistical distribution for single risk and then develop a theoretical distribution for bivariate case when two risk sources generating claims behave under dependent assumption. Bivariate Pareto distribution constructed is employed to generate exposure curves performing simulation with respect to their parameters. Sensitivity of curves to the different values of parameters are investigated and compared for better estimations. The findings of this thesis show that the joint statistical distribution for dependent risks yield meaningful exposure curves which may be easily implemented to practical use.