On Wednesday, January 16, 2019 there will be a talk with the title "Assessment of Optimal Stop-Loss Reinsurance: A Dependence Analysis of Aggregate Claims under Certain Distributions" by Prof. Dr. A. Sevtap Selcuk-Kestel from the Middle East Technical University in Ankara.

The talk takes place at 15.30 in Room E4.09 (Bernhard Riemann) at Fraunhofer ITWM.

Abstract:
This study considers, the optimality of a stop-loss contract under dependence and independence assumptions in the frame of evaluating the impact of aggregate claim distributions, with respect to the insurer and reinsurer point of views. The aim is to examine the influence of different distributional assumptions on aggregate loss in determining the stop-loss contracts with priority and maximum. In this respect, we employ Pareto, Gamma, and Inverse Gamma distributions. The dependence between insurer and reinsurer cost is considered by implementing traditional dependence measures. The convergence in the correlation of the insurer and reinsurer is examined according to the variation between the maximum and the priority. Moreover, we determine the premium of the stop-loss reinsurance contracts having only priority, and both priority and maximum, when the correlation between parties is taken into account. Furthermore, the partition of premium between insurer and reinsurer is investigated under the assumptions of proposed statistical distributions on the cost of aggregate claims. The outcomes of the study guide practitioners to determine the optimum level and its related retention value on their cost distribution.