การวิเคราะห์ความเหมาะสมที่สุดของการประกันภัยต่อสำหรับการประกันภัยความเสี่ยงภัยทุกชนิด

• Main Author: พัชรวรรณ พันธุ์ปกรณ์
• Other Authors: ฐิติวดี ชัยวัฒน์
• Format: Theses and Dissertations
• Language: Thai
• Published: จุฬาลงกรณ์มหาวิทยาลัย 2014
• Subjects: ความเสี่ยง (ประกันภัย); การหาค่าเหมาะที่สุดเชิงคณิตศาสตร์; ประกันภัย > คณิตศาสตร์; Risk (Insurance); Mathematical optimization; Insurance > Mathematics
• Online Access: https://digiverse.chula.ac.th/Info/item/dc:28154
• Institution: Chulalongkorn University

The purpose of research is to analyze treaty reinsurance optimization between Quota Share Treaty and Combined Quota Share and Surplus Treaty and find maximum retention limit of each treaty. Moreover, this research aims to access economic capital of ceding company in each difference confidence level by 2 approaches; 1.) Value at Risk (VaR) and 2.) Expected Shortfall (ES). The observed data are Industrial all risk policy by transaction from 2008 to 2013 of a non-life insurance company. The result shows that Combined Quota Share and Surplus Treaty is suitable more than Quota Share Treaty, by considering Risk-Adjusted Return on Capital (RAROC), due to RAROC of Combined Quota and Surplus Treaty is higher than RAROC of Quota Share Treaty at the same retention level. Furthermore, evaluating economic capital of Ceded’s aggregate loss by Economic Shortfall method is higher than Value at Risk method at the same confidence level. Because Expected Shortfall is suitable for large risk exposure so Ceding Company should consider using Expected Shortfall to access economic capital for large risk exposure such as industrial group or department store group. Moreover Value at Risk method is appropriate for small risk exposure such as residential group or commercial group.