Perspectives of Innovations, Economics and Business

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Volume 3
Issue 3
Online publication date 2009-12-07
Title Insolvency probability in reinsurance treaty: a case study in Malaysia
Author Noriszura Ismail, Ansar Asnawi Ahmad Anuar
Abstract
In developing countries such as Malaysia, the availability of reinsurance arrangements provides several advantages to the primary insurers such as keeping their risk exposures at prudent levels by having their large risk exposures reinsured by another company, meeting client requests for larger insurance coverage by having their limited financial sources supported by another company, and acquiring underwriting skills, experience and ability of handling complex claims by depending on another company for such services. This paper aims to model insurance claims and assess the insolvency 
probability of reinsurance treaties. Claims data was obtained from one of the leading insurers in Malaysia and R programming with actuar package is used to compute the probability of insolvency.
Citation
References
Bank Negara Malaysia, 1995. Annual report of the Director General of Insurance 1995; 2005.
Dimitriyadis, I., Oney, U., 2009. “Deductibles in health insurance”, Journal of Computational and Applied Mathematics, Vol.233(1), pp.51-60

Hua, L. and Cheung, K., 2008. “Worst allocation of policy limits and deductibles”, Insurance: Mathematics and Economics, Vol.40(1), pp.93-98

Klugman, S., Panjer, H., Willmot, G., 2008. “Loss models: from data to decisions”, 3rd edition, John Wiley and Sons, New Jersey

Lee, H., 1997. The insurance industry in Malaysia: a study in financial development and regulation, Kuala Lumpur, Oxford University Press

Wang, S., 1996. “Premium calculation by transforming the layer premium density”. ASTIN Bulletin, Vol.26, pp.71-92

Wang, S., 1998. “Implementation of proportional hazards transforms in ratemaking”. Proceedings of the Casualty Actuarial Society Casualty Actuarial Society, Vol.LXXXV, pp.940-79

Zhuang, W., Chen, Z., Hu, T., 2008. “Optimal allocation of policy limits and deductibles under distortion risk measures”, Insurance: Mathematics and Economics, Vol.44(3), pp.409-14
Keywords Reinsurance, pricing, insolvency probability, excess-of-loss.
DOI http://dx.doi.org/10.15208/pieb.2009.57
Pages 62-64
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