THE CALCULATION OF OPTIMAL REINSURANCE RETENTION BY VALUE AT RISK APPROACH

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SHAHRIAR B.; AHMADI SEYED MOHAMMAD MAHDI

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Journal: ECONOMIC RESEARCH REVIEW Year:2008 | Volume:8 | Issue:1 (28) Page(s): 223-243

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Title

THE CALCULATION OF OPTIMAL REINSURANCE RETENTION BY VALUE AT RISK APPROACH

Author(s)

SHAHRIAR B. | AHMADI SEYED MOHAMMAD MAHDI | Issue Writer Certificate

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Abstract

The principal goal of this paper is presenting a new method for estimation of optimal reinsurance retention related to Capital Adequacy and potential losses of an insurance company. Whereas, there are several methods for calculating this, but in this paper, we have calculated this optimal retention by using of value at risk minimizing and Monte Carlo simulation (that is one of the VAR estimation methods). This is calculated for Mellat Insurance Company in 1384.According to our findings, for sum insured of this company's policies, approximately, the optimal reinsurance retention have been equal to 58%, 35,845 million Rails and 18,937 million Rails in quota share, excess of loss and surplus contracts, respectively.

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نحوه اندازه گیری ریسک صدور در شرکتهای بیمه با استفاده از روش ارزش در معرض ریسک

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APA: Copy

SHAHRIAR, B., & AHMADI, SEYED MOHAMMAD MAHDI. (2008). THE CALCULATION OF OPTIMAL REINSURANCE RETENTION BY VALUE AT RISK APPROACH. ECONOMIC RESEARCH REVIEW, 8(1 (28)), 223-243. SID. https://sid.ir/paper/67202/en

Vancouver: Copy

SHAHRIAR B., AHMADI SEYED MOHAMMAD MAHDI. THE CALCULATION OF OPTIMAL REINSURANCE RETENTION BY VALUE AT RISK APPROACH. ECONOMIC RESEARCH REVIEW[Internet]. 2008;8(1 (28)):223-243. Available from: https://sid.ir/paper/67202/en

IEEE: Copy

B. SHAHRIAR, and SEYED MOHAMMAD MAHDI AHMADI, “THE CALCULATION OF OPTIMAL REINSURANCE RETENTION BY VALUE AT RISK APPROACH,” ECONOMIC RESEARCH REVIEW, vol. 8, no. 1 (28), pp. 223–243, 2008, [Online]. Available: https://sid.ir/paper/67202/en

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