Essays about: "reinsurance"

Showing result 1 - 5 of 14 essays containing the word reinsurance.

  1. 1. Pricing and Modeling Heavy Tailed Reinsurance Treaties - A Pricing Application to Risk XL Contracts

    University essay from KTH/Matematisk statistik

    Author : Ormia Abdullah Mohamad; Anna Westin; [2023]
    Keywords : Reinsurance; Extreme Value Theory; POT-model; Hill estimator; Risk XL contracts; Generalized Pareto distribution; Method of Moments.; Återförsäkring; Extremevärdesteori; POT-modellen; Hill estimatorn; Risk XL kontrakt; generella Paretofördelningen; Momentmetoden.;

    Abstract : To estimate the risk of a loss occurring for insurance takers is a difficult task in the insurance industry. It is an even more difficult task to price the risk for reinsurance companies which insures the primary insurers. READ MORE

  3. 2. An Extreme Value Approach to Modelling Construction Defect Insurance Claims

    University essay from Lunds universitet/Matematisk statistik

    Author : Matilda Ekermann; Ida Swartling; [2022]
    Keywords : Extreme value theory; insurance; block-maxima; peaks over threshold; Poisson process; Mathematics and Statistics;

    Abstract : Predicting future large claims, as well as the total cost, of a specific insurance is essential for insurance companies, for example when setting premium levels or purchasing reinsurance coverage. The purpose of this thesis is to investigate if extreme value theory can be applied to construction defect insurance claims. READ MORE

  4. 3. Black Box Optimization Framework for Reinsurance of Large Claims

    University essay from Stockholms universitet/Statistiska institutionen

    Author : Sina Mozayyan; [2022]
    Keywords : augmented Lagrangian; constraint optimization by linear interpolation; derivative-free black box optimization; DIRECT L ; evolutionary optimization; NLopt package; mean-variance premium principle; risk management; Solvency II;

    Abstract : A framework for optimization of reinsurance strategy is proposed for an insurance company with several lines of business (LoB), maximizing the Economic Value of purchasing reinsurance. The economic value is defined as the sum of the average ceded loss, the deducted risk premium, and the reduction in the cost of capital. READ MORE

  5. 4. An Application of A Bayesian Extreme Value Mixture Model to Reinsurance Excess-of-Loss Pricing and Extreme Value Threshold Selection

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Asmir Prepic; [2018]
    Keywords : ;

    Abstract : .... READ MORE

  6. 5. Modelling Large Claims in Property and Home Insurance - Extreme Value Analysis

    University essay from Lunds universitet/Matematisk statistik

    Author : Henrik Paldynski; [2015]
    Keywords : Mathematics and Statistics;

    Abstract : It is of paramount interest for insurance companies to have an estimate of the probability of being exposed to extremely large claims that could render them directly insolvent or decrease the size of their regulatory capital to the point of non-viability. The difficulty with finding such an estimate is that extreme events are by definition rare and therefore difficult to model. READ MORE