AN OPTIMIZATION OF A REINSURANCE SCHEME BASED ON THE MEAN-VARIANCE PREFERENCE
An insurance business is a business of spreading the risk of financial losses. An insurance company needs to measure the risks its business will cover to keep profitable. One way of spreading the risks is by purchasing a reinsurance policy. The insurance company shares some of the risks to a rein...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/53661 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | An insurance business is a business of spreading the risk of financial losses. An
insurance company needs to measure the risks its business will cover to keep
profitable. One way of spreading the risks is by purchasing a reinsurance policy.
The insurance company shares some of the risks to a reinsurance company and
provides a compensation in the form of a reinsurance premium. In sharing parts of
the risks to the reinsurance company, the insurance company needs to measure how
much of the total risks the insurance company will cover, which are its own retention
and the reinsurance premium it needs to pay. One methodology to determine an
optimal reinsurance premium is to analyze the mean-variance of the ceded losses.
The Sharpe ratio and the mean-variance utility are measurements which are often
used in calculating an optimal reinsurance scheme. In this thesis, the parameters
in the optimal reinsurance schemes are determined numerically. Applying different
loss probability distributions, the results of the optimal reinsurance schemes are
compared. |
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