Akademik Veri Yönetim Sistemi
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2025 (SCI-Expanded, Scopus)
Reinsurance, as a strategic tool, has become increasingly importance in mitigating the potential adverse impacts of catastrophic events and fluctuations in insurance portfolios. In this study, we propose a dynamic model that combines the two most commonly used types of reinsurance agreements: stop-loss and quota-share. This dynamic model incorporates the advantageous aspects of both agreements and can be adapted depending on the specific type of insurance and the data structure to which it is applied. The model calculates the liabilities of both insurance and reinsurance companies based on certain lower and upper parameters, which are determined by the loss-premium ratio derived from either paid or incurred losses and premium amounts. Classic risk model assumptions and the recursive approach are employed to obtain the insurer's aggregate claim amount distribution, which consists of the total loss with reinsurance premium and the number of claims. Value at risk (VaR) and conditional tail expectation (CTE) values are calculated from the insurer's aggregate claim amount distribution. The analysis explores the relationship between the lower loss ratio- a fundamental parameter of the dynamic model- and the confidence levels used for these risk measures. The results are then interpreted to understand their implications.