IDEAS home Printed from https://ideas.repec.org/a/cup/anacsi/v10y2016i01p65-86_00.html
   My bibliography  Save this article

Optimal reinsurance under multiple attribute decision making

Author

Listed:
  • Bulut Karageyik, Başak
  • Dickson, David C.M.

Abstract

We apply methods from multiple attribute decision making (MADM) to the problem of selecting an optimal reinsurance level. In particular, we apply the Technique for Order of Preference by Similarity to Ideal Solution method with Mahalanobis distance. We consider the classical risk model under a reinsurance arrangement – either excess of loss or proportional – and we consider scenarios that have the same finite time ruin probability. For each of these scenarios we calculate three quantities: released capital, expected profit and expected utility of resulting wealth. Using these inputs, we apply MADM to find optimal retention levels. We compare and contrast our findings with those when decisions are based on a single attribute.

Suggested Citation

  • Bulut Karageyik, Başak & Dickson, David C.M., 2016. "Optimal reinsurance under multiple attribute decision making," Annals of Actuarial Science, Cambridge University Press, vol. 10(1), pages 65-86, March.
    • Handle: RePEc:cup:anacsi:v:10:y:2016:i:01:p:65-86_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S1748499515000123/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Başak Bulut Karageyik & Şule Şahin, 2016. "Optimal Retention Level for Infinite Time Horizons under MADM," Risks, MDPI, vol. 5(1), pages 1-24, December.
    2. Shirley Jie Xuan Wang & Kim Leng Poh, 2017. "Intelligent Decision Support in Proportional–Stop-Loss Reinsurance Using Multiple Attribute Decision-Making (MADM)," JRFM, MDPI, vol. 10(4), pages 1-17, November.
    3. Başak Bulut Karageyik & Şule Şahin, 2017. "Determination of the Optimal Retention Level Based on Different Measures," JRFM, MDPI, vol. 10(1), pages 1-21, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:anacsi:v:10:y:2016:i:01:p:65-86_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/aas .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.