Application of Convex Optimization Results of De Finetti's problem for Proportional Reinsurance (Study case CAARAMA insurance campany in Algiers)

The objective of this research is to find the optimal retention level for a proportional reinsurance treaty based on the results of the convex optimization developed in De Finetti’s model. The latter makes it possible to determine the level of retention that achieves the expected profit by the insur...

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Autores principales:	Zahra Cheraitia, Hanya Kherchi Medjden
Formato:	article
Lenguaje:	AR EN
Publicado:	Ziane Achour University of Djelfa 2020
Materias:	convex function nonlinear optimization proportional reinsurance risk minimization caarama insurance campany Social Sciences H Commerce HF1-6182
Acceso en línea:	https://doaj.org/article/d00715fa113b4cfb8c79ab82087e8e95
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spelling	oai:doaj.org-article:d00715fa113b4cfb8c79ab82087e8e952021-12-02T11:44:54ZApplication of Convex Optimization Results of De Finetti's problem for Proportional Reinsurance (Study case CAARAMA insurance campany in Algiers)2676-184X2710-885610.48100/merj.v2i4.127https://doaj.org/article/d00715fa113b4cfb8c79ab82087e8e952020-09-01T00:00:00Zhttps://mer-j.com/merj/index.php/merj/article/view/127https://doaj.org/toc/2676-184Xhttps://doaj.org/toc/2710-8856The objective of this research is to find the optimal retention level for a proportional reinsurance treaty based on the results of the convex optimization developed in De Finetti’s model. The latter makes it possible to determine the level of retention that achieves the expected profit by the insurer, while minimizing claims volatility. The convex functions appear abundantly in economics and finance. They have remarkable specificities that allows actuaries to minimize financial risks to which some institutions are exposed, especially insurance companies. Therefore, the use of mathematical tools to manage the various risks is paramount.In order to remedy the optimization problem, we have combined the probability of failure method with the "De Finetti" model for proportional reinsurance, which proposed a retention optimization process that minimizes claim volatility for a fixed expected profit based on the results of the non-linear optimization. JEL Codes: C02, C25, C61, G22.Zahra CheraitiaHanya Kherchi MedjdenZiane Achour University of Djelfaarticleconvex functionnonlinear optimizationproportional reinsurancerisk minimizationcaarama insurance campanySocial SciencesHCommerceHF1-6182ARENمجلة بحوث الإدارة والاقتصاد, Vol 2, Iss 4, Pp 86-100 (2020)
institution	DOAJ
collection	DOAJ
language	AR EN
topic	convex function nonlinear optimization proportional reinsurance risk minimization caarama insurance campany Social Sciences H Commerce HF1-6182
spellingShingle	convex function nonlinear optimization proportional reinsurance risk minimization caarama insurance campany Social Sciences H Commerce HF1-6182 Zahra Cheraitia Hanya Kherchi Medjden Application of Convex Optimization Results of De Finetti's problem for Proportional Reinsurance (Study case CAARAMA insurance campany in Algiers)
description	The objective of this research is to find the optimal retention level for a proportional reinsurance treaty based on the results of the convex optimization developed in De Finetti’s model. The latter makes it possible to determine the level of retention that achieves the expected profit by the insurer, while minimizing claims volatility. The convex functions appear abundantly in economics and finance. They have remarkable specificities that allows actuaries to minimize financial risks to which some institutions are exposed, especially insurance companies. Therefore, the use of mathematical tools to manage the various risks is paramount.In order to remedy the optimization problem, we have combined the probability of failure method with the "De Finetti" model for proportional reinsurance, which proposed a retention optimization process that minimizes claim volatility for a fixed expected profit based on the results of the non-linear optimization. JEL Codes: C02, C25, C61, G22.
format	article
author	Zahra Cheraitia Hanya Kherchi Medjden
author_facet	Zahra Cheraitia Hanya Kherchi Medjden
author_sort	Zahra Cheraitia
title	Application of Convex Optimization Results of De Finetti's problem for Proportional Reinsurance (Study case CAARAMA insurance campany in Algiers)
title_short	Application of Convex Optimization Results of De Finetti's problem for Proportional Reinsurance (Study case CAARAMA insurance campany in Algiers)
title_full	Application of Convex Optimization Results of De Finetti's problem for Proportional Reinsurance (Study case CAARAMA insurance campany in Algiers)
title_fullStr	Application of Convex Optimization Results of De Finetti's problem for Proportional Reinsurance (Study case CAARAMA insurance campany in Algiers)
title_full_unstemmed	Application of Convex Optimization Results of De Finetti's problem for Proportional Reinsurance (Study case CAARAMA insurance campany in Algiers)
title_sort	application of convex optimization results of de finetti's problem for proportional reinsurance (study case caarama insurance campany in algiers)
publisher	Ziane Achour University of Djelfa
publishDate	2020
url	https://doaj.org/article/d00715fa113b4cfb8c79ab82087e8e95
work_keys_str_mv	AT zahracheraitia applicationofconvexoptimizationresultsofdefinettisproblemforproportionalreinsurancestudycasecaaramainsurancecampanyinalgiers AT hanyakherchimedjden applicationofconvexoptimizationresultsofdefinettisproblemforproportionalreinsurancestudycasecaaramainsurancecampanyinalgiers
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Application of Convex Optimization Results of De Finetti's problem for Proportional Reinsurance (Study case CAARAMA insurance campany in Algiers)

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