Optimal premium allocation under stop-loss insurance using exposure curves

Determining the retention level in the stop-loss insurance risk premium for both insurer and reinsurer is an important factor in pricing. This paper aims to set optimal reinsurance with respect to the joint behavior of the insurer and the reinsurer under stop-loss contracts. The dependence between the costs of insurer and reinsurer is expressed as a function of retention (d) and maximum-cap (m) levels. Based on the maximum degree of correlation, the optimal levels for d and m are derived under certain claim distributions (Pareto, Gamma and Inverse Gamma). Accordingly, the risk premium and exposure curves for both parties are based on the selected distributions. Quantification of the premium share over derived exposure curves based on the optimized retention and maximum levels and the maximum loss risk is obtained using VaR and CVaR as risk measures

The Impact of Macro-Economic Drivers in Housing Markets: The US Cas

This paper analyzes the effect of macro-economic, financial and commodity market indicators on housing markets. We compare the efficiency of the models generated by Generalized Linear Models (GLM) and Multivariate Adaptive Regression Splines (MARS) according to method free measures for estimating the housing market trend. These models are used for the first time to identify the influence of macro-economic indicators on housing markets and the estimation of the trend in housing markets to our best knowledge. The empirical analysis focuses on the US housing market, and the illustration of the proposed models is done through the monthly historical realizations of S\&P/Case-Shiller National Home Price Index (HPI) and the US macro-economic indicators over the period from 1999-January to 2018-June. It contributes to the literature by highlighting the interaction between macro-economic indicators and housing markets and analyzing the mechanism of housing markets. The findings indicate that the house price trends are estimated with more accuracy and these models capture the joint influence of explanatory variables. Further, the MARS method is shown to outperform GLM compared to the prediction and forecasting power

Risk assessment and pricing of natural hazards earthquake case

The potential impacts of natural hazards are enormous. In such catastrophes the economies and human lives are exposed to unpredictable losses. Probabilistic modeling of such hazards require long term historical information which enables researchers to determine the potential risk for certain periods. However, even though its increasing trend in the frequency of such events, the factors influencing the magnitude of the losses are diverse and many. Earthquakes are the most severe one as its occurrence and severity are not predictable compared to meteorological hazards. This study gives an overview of risk assessment approaches in determining the likelihood of such an event, and then explains, in specific, probabilistic seismic analysis approach to assess the risk. Loss estimation and risk transfer methods which are commonly used in practice are presented. A Bayesian approach is applied to estimate the economical loss caused by an earthquake to determine the risk premium. The proposed approach is employed to Turkish earthquake data for a certain region and compared to the rates depicted by Turkish Catastrophe Insurance Pool (TCIP-DASK)

Türkiye İçin Bireysel Risk Bazına İndirgenmiş Kollektif Hasar Modellemeleri

Türkiye İçin Bireysel Risk Bazına İndirgenmiş Kollektif Hasar Modellemeler

Uzun Ömür Riskinin Türkiye Emeklilik Fonları Üzerine Olan Etkisinin Değerlendirilmesi.

Hayat ürünlerinde beklenen yaşam süreleri sigorta şirketleri ve sosyal güvenlik kurumları açısından ciddi derecede önem taşımaktadır. İnsan ömrü boyunca devam eden bu sözleşmelerin hesaplanabilmesi için gelecekteki mortalite oranlarına ve beklenen yaşam ömürlerine ihtiyaç duyulmaktadır. Bu bağlamda bu sözleşmelerin doğru şekilde hesaplanabilmesi bazı öngörülere dayanmaktadır. Beklenen insan ömrünün tahminlerden sapması olarak tanımlanan longevity riski hayat ürünlerinde özellikle de emeklilik sistemlerinde ortaya çıkmaktadır. Gelecekte insan ömrünün hesaplanmasında yapılan araştırmalar Lee Carter metodun diğer projeksiyon yöntemlerinden daha iyi sonuç verdiğini kanıtlamaktadır. Türkiye geçmişte var olan emeklilik sisteminde 25 yıl prim ödeme zorunluluğu varken 2006 yılında yapılan reformla beraber emeklilik yaşını 58 yükseltmiş ve kademeli olarak 65 yaşına yükseltilmesi öngörülmüştür. Bu reformun yapılmasında beklenen yaşam ömrünün yükselmesi sonucu sistemde artan açık etkili olmuştur. Bu çalışmada Lee Carter metodu ile yapılmış olan mortalite projeksiyonu kullanılarak longevity riskinin özellikle sosyal güvenlik kurumunun mevcut hesaplama yöntemi üzerindeki etkisini ölçmeyi amaçlamaktadır. Bu bağlamda varsayımsal olarak oluşturulan portföyler hem Sosyal Güvenlik Kurumunun kullandığı mortalite tabloları için hem de Lee Carter modelinden elde edilen mortalite tabloları için hesaplanıp emeklilik sistemi üzerindeki farkların hesaplanması amaçlanmaktadır. Çalışmanın ileriki aşamaları için longevity riskinin Türkiye' deki emeklilik sistemi üzerindeki etkisini hesaplamak için DPVL, FRV ve RP metodlarını kullanılması öngörülmüştür

Türkiye de Kuraklık Riskine Karşı Index Tabanlı Tarım Sigortaları Geliştirilmesi

c) Önerilen konunun güncel ve evrensel olarak ulaşmış noktada üreteceği ek bilgi ve/veya teknoloji: In Turkey agriculture insurance was introduced as crop insurance only against hail risk, but did not brought a remarkable success in the sector. After the legalization of the law in agricultural insurance in 2005, TARSIM-Agricultural insurance pool enterprises has been established. Agricultural insurance which is on the volunteer basis is subsidized by the Government. A system of standardized premium determined by TARSIM and reinsured by Munich Re, TARSIM provides insurance coverage for such catastrophe risks which can not be coped by a single insurance company. The law no.5363, article 17 forbids ad- hoc payments to farmers without agricultural insurance for the risks that can be insured which reduces the economic burden of agricultural losses on government. Even though the trial on implementing index insurance did not yield successful results during 2002 and 2003, for the crops extending spatially over large geographic region, area yield-index insurance needs to be taken into account. For this reason index based insurance is not taken into account as a plausible methodology to optimize the risks of each parties: producers, Government and insurance companies. The outcomes of this project will give the intermediate steps on setting strategies on implementing index based insurance for specific products in Turkey under drought and flood risks

The Effect of Macro-Economic Factors on Housing Markets: US Case

The real estate market is one of the leading and locomotive markets in national economies due to its high dependence on domestic capital, its creation of high added value, the magnitude of its employment potential, and the strong relation to the other markets. And the housing market is one of the biggest submarket of real estate market and it is a massive factor in householder’s consumption; therefore, it is one of the biggest components in the basket of goods used for calculating the consumer price index (CPI) in most of the industrialized countries. Therefore, this paper aims to determine the influence of the dynamic effects of specific macroeconomic variables (i.e. mortgage rates, inflation, and unemployment) on the house price indices, with particularly on the S&P/Case-Shiller National Home Price Index for the United States (U.S.) housing market. In the determination, we used the novel regression methods: the generalized linear regression (GLM) and Multivariate Adaptive Regression Splines (MARS). Our models allow for the interactions among the independent variables and they are consistent with U.S. data for the period 2000 to 2015