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首页> 外文期刊>International Journal of Statistics and Probability >Reinsurance Pricing of Large Motor Insurance Claims in Nigeria: An Extreme Value Analysis
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Reinsurance Pricing of Large Motor Insurance Claims in Nigeria: An Extreme Value Analysis

机译：尼日利亚大型汽车保险索赔的再保险定价：极值分析

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摘要

Reinsurance is of utmost importance to insurers because it enables insurance companies cover risks that they, under normal circumstances, would not be able to cover on their own. An insurer needs to be able to evaluate his solvency probability and consequently, adjust his retention levels appropriately because the insurer's retention level plays a vital role in determining the premiums he will pay to the reinsurer. To illustrate how Extreme Value theory can be applied, this study delves into modelling the probabilistic behaviour of the frequency and severity of large motor claims from the Nigerian insurance sector (2013-2016) using the Negative Binomial-Generalized Pareto distribution (NB-GPD). The annual loss distribution is simulated using the Monte Carlo method and it is used to predict the expected annual total claims and estimate the capital requirement for a year. Pricing of the Excess-of-loss (XL) reinsurance is also examined to aid insurers in optimizing their risk management decision in regards to the choice of their risk transfer position.
机译：再保险对保险公司来说至关重要，因为它使得保险公司能够涵盖在正常情况下的风险，无法自己覆盖。保险公司需要能够评估他的偿付能力概率，从而适当地调整他的保留水平，因为保险公司的保留水平在确定他将支付给再保险公司的保费方面发挥着至关重要的作用。为了说明如何应用极端值理论，本研究涉及使用尼日利亚保险部门（2013-2016）的大型电机声明的频率和严重程度的概率行为（2013 - 2016）使用负二项式广义普通普罗对（NB-GPD）来建模概率和严重程度。使用Monte Carlo方法模拟年度损失分布，它用于预测预期的年度总索赔，并估计一年的资本要求。还审查了损失过度（XL）再保险的定价，以援助保险公司在优化其风险转移职位的选择方面优化其风险管理决策。

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