محاسبه ميزان و سهم نگهداري بهينه اتكايي در شركتهاي بيمه با رويكرد ارزش در معرض ريسك‌

The Calculation of Optimal Reinsurance Retention By Value at Risk Approach

The principal goal of this paper is presenting a new method for estimation of optimal reinsurance retention related to Capital Adequacy and potential losses of an insurance company. Whereas, there are several methods for calculating this, but in this paper, we have calculated this optimal retention by using of value at risk minimizing and Monte Carlo simulation (that is one of the VAR estimation methods). This is calculated for Mellat Insurance Company in 1384. According to our findings, for sum insured of this ompanyʹs policies, approximately, the optimal reinsurance retention have been equal to 58%, ~ ~ 35,845 million Rails and 18,937 million Rails in quota share, excess of loss and surplus contracts, respectively.