Download or read book An Analytic Approach to Estimating the Required Surplus Benchmark Profit and Optimal Reinsurance Retention for an Insurance Enterprise written by Joseph Allen Boor and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: This paper presents an analysis of the capital needs, needed return on capital, and optimum reinsurance retention for insurance companies, all in the context where claims are either paid out or known with certainty within or soon after the policy period. Rather than focusing on how to estimate such values using Monte Carlo simulation, it focuses on closed form expressions and approximations for key quantities that are needed for such an analysis. Most of the analysis is also done using a distribution-free approach with respect to the loss severity distribution, so minimal or no assumptions surrounding the specific distribution are needed when analyzing the results. However, one key parameter, that is treated via an exhaustion of cases, involves the degree of parameter uncertainty, the number of separate lines of business involved. This is done for the no parameter uncertainty monoline compound Poisson distribution as well as situations involving (lognormal) severity parameter uncertainty, (gamma/negative binomial) count parameter uncertainty, the multiline compound Poisson case, and the compound Poisson scenario with parameter uncertainty, and especially parameter uncertainty correlated across the lines of business. It shows how the risk of extreme aggregate losses that is inherent in insurance operations may be understood (and, implicitly, managed) by performing various calculations using the loss severity distribution, and, where appropriate, key parameters driving the parameter uncertainty distributions. Formulas are developed that estimate the capital and surplus needs of a company(using the VaR approach), and therefore the profit needs of a company that involve tractable calculations. As part of that the process the benchmark loading for profit, reflecting both the needed financial support for the amount of capital to adequately secure to a given one year survival probability, and the amount needed to recompense investors for diversifiable risk is discussed. An analysis of whether or not the loading for diversifiable risk is needed is performed. Approximations to the needed values are performed using the moments of the capped severity distribution and analytic formulas from the frequency distribution as inputs into method of moments normal and lognormal approximations to the percentiles of the aggregate loss distribution. An analysis of the optimum reinsurance retention/policy limit is performed as well, with capped loss distribution/frequency distribution equations resulting from the relationship that the marginal profit (with respect to the loss cap) should be equal to the marginal expense and profit dollar loading with respect to the loss cap. Analytical expressions are developed for the optimum reinsurance retention. Approximations to the optimum retention based on the normal distribution were developed and their error analyzed in great detail. The results indicate that in the vast majority of practical scenarios, the normal distribution approximation to the optimum retention is acceptable. Also included in the paper is a brief comparison of the VaR (survival probability) and expected policyholder deficit (EPD) and TVaR approaches to surplus adequacy (which conclude that the VaR approach is superior for most property/casualty companies); a mathematical analysis of the propriety of insuring the upper limits of the loss distribution, which concludes that, even if unlimited funds were available to secure losses in capital and reinsurance, it would not be in the insured's best interest to do so. Further inclusions to date include a illustrative derivation of the generalized collective risk equation and a method for interpolating "along" a mathematical curve rather than directly using the values on the curve. As a prelude to a portion of the analysis, a theorem was proven indicating that in most practical situations, the n-1st order derivatives of a suitable probability mass function at values L, when divided by the product of L and the nth order derivative, generate a quotient with a limit at infinity that is less than 1/n.
Download or read book Reinsurance written by R.L. Carter and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: There may be some readers of this book who are expecting a sort of Mrs Beeton of reinsurance, whose indications if carefully followed will ensure the satisfactory outcome of any reinsurance operation undertaken. They will, I fear, be disappointed for reinsurance is first and foremost a commercial enterprise, whose successful conduct depends upon so much that cannot be written in books or committed to paper. Above all else, it depends upon people and on the personalities of people as much as on their technical skills. Most reinsurers are born and only some are made, but none the less for either sort this book will be of inestimable benefit as a guide to the principles that lie behind the transaction of a business at once as complex and widespread as reinsurance is by its very nature. One of the main characteristics of this highly specialized business is the infinite variety of situations to which the reinsurer is called upon to adapt his business methods making any standardization of practice possible only on a broad, as opposed to a detailed, basis. This renders any attempt to encompass in one book all the practical alternatives and differences in approach to technical reinsurance problems a virtual impossibility.
Download or read book Optimization of Excess of Loss Reinsurance Structure written by Mai Muhtaseb and published by . This book was released on 2016 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In the current practice in the region, before purchasing a reinsurance contract, small to medium insurance companies rarely conduct internal analysis of their data and experiences in order to evaluate and achieve optimal reinsurance arrangements and contracts. Most companies settle their reinsurance agreements through reinsurance intermediary, broker, who acts as the link of communication, negotiation and settlement between both the reinsurers and the ceding insurer. Alternatively, the reinsurance companies or intermediaries evaluate and analyze the insurer’s historical losses and offer reinsurance agreement and proposal accordingly. Therefore, the proposed reinsurance structure is not necessarily the insurer’s optimal arrangement. In this thesis, excess of loss reinsurance optimization models are developed in order to enable insurers to utilize user-friendly and efficient tools to evaluate the optimal reinsurance arrangement depending on financial requirements, and to gain better value of their reinsurance contracts. The models are developed to define the insurer’s optimal reinsurance retention and ceding limits for two objectives; minimizing insurer’s retention variance and maximizing insurer’s return on capital. The model maximizing the return on capital resulted in more realistic optimization solutions of retention limits. A sensitivity analysis to evaluate the impact of the model’s parameters on the return on capital was also conducted, and it was concluded that the impact of the insurer’s retention limit on the return on capital was significantly small. Moreover, the defined capital and gross premium safety loading had a major impact on the behavior of the return on capital."--Abstract.
Download or read book Reference Guide to Reinsurance 2010 Edition written by Albert Amato and published by Albert Amato. This book was released on 2010-10-25 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reference book of reinsurance concepts with background information on commercial insurance policies, captives, risk retention groups and more. This book is practical for professionals in the reinsurance industry or for novices wanting to have a better understanding of reinsurance concepts.
Download or read book Reinsurance written by Hansjörg Albrecher and published by John Wiley & Sons. This book was released on 2017-08-21 with total page 501 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reinsurance: Actuarial and Statistical Aspects provides a survey of both the academic literature in the field as well as challenges appearing in reinsurance practice and puts the two in perspective. The book is written for researchers with an interest in reinsurance problems, for graduate students with a basic knowledge of probability and statistics as well as for reinsurance practitioners. The focus of the book is on modelling together with the statistical challenges that go along with it. The discussed statistical approaches are illustrated alongside six case studies of insurance loss data sets, ranging from MTPL over fire to storm and flood loss data. Some of the presented material also contains new results that have not yet been published in the research literature. An extensive bibliography provides readers with links for further study.
Download or read book Reinsurance Reference Guide 2012 Edition written by Albert Amato and published by Lulu.com. This book was released on 2012-01-01 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reference book of reinsurance concepts with background information on commercial insurance policies, captives, risk retention groups and more. This book is practical for professionals in the reinsurance industry or for novices wanting to have a better understanding of reinsurance concepts.
Download or read book The ABC Of Reinsurance written by Stefan Pohl and published by VVW GmbH. This book was released on 2018 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: Titel in englischer Sprache Eine wichtige Neuerscheinung für alle, die mit Rückversicherungen zu tun haben. Vor allem Einsteiger finden hier übersichtlich und verständlich alle relevanten Informationen auf einen Blick! Das 'ABC der Rückversicherung' ist in zwei Teile untergliedert. Im ersten befassen sich die Autoren intensiv mit der traditionellen Rückversicherung. Dazu zählen Themen wie die Vertragsrückversicherung und die fakultative Rückversicherung - und zwar sowohl in der proportionalen als auch in der nichtproportionalen Form. Der erste Teil behandelt zusätzlich zentrale Methoden der Bepreisung und der Rechnungslegung von Rückversicherungsverträgen. Zahlreiche Illustrationen, Beispiele und Übungsaufgaben mit nachvollziehbaren Musterlösungen sorgen dafür für bestmögliche Verständlichkeit. Ganz bewusst verzichteten die Autoren darauf, mathematische Herleitungen zu erklären. Aus gutem Grund: Im Vordergrund steht klar und deutlich die schnelle Anwendbarkeit, daher werden konkret die Vor- und Nachteile der einzelnen Techniken und Konzepte herausgearbeitet. Der zweite Teil widmet sich dann den fortgeschrittenen Aspekten in der Rückversicherung. Dazu gehören Methoden des alternativen Risikotransfers, aber auch die verschiedenen Anwendungsgebiete der passiven Rückversicherung kommen nicht zu kurz. In erster Linie ist der zweite Teil dazu gedacht, einen kompakten Überblick über weitere Themengebiete zu geben, die rund um die traditionelle Rückversicherung flankierend auftauchen. Bereits Anfänger, die mit dem Thema noch nicht sehr vertraut sind, können so die wichtigsten Konzepte der Rückversicherung und die in der Praxis verwandten Fachtermini einsortieren und grob bewerten! Zahlreiche Referenzen geben dabei nicht nur Sicherheit, sie dienen auch einem vertieften Einstieg. Im Einzelnen werden hier die folgenden Themengebiete angesprochen: - Fronting und Captives zur Steuerung des Selbstbehaltes der zedierenden Gesellschaft - Run-Off-Management zur Abwicklung von Versicherungsbeständen - Regulatorische Themen wie die Äquivalenz von einzelnen Aufsichtsregimen und die Erfassung von global systemrelevanten Versicherern sowie - Skizzierung von Methoden zur Optimierung von Rückversicherungsstrukturen und Selbstbehalten Ein Glossar, der die im Buch gebrauchten Fachtermini kurz erläutert, rundet das für die Branche wichtige Buch ab. Ideal für Anfänger bei Versicherungsunternehmen, die sich mit der aktiven oder passiven Rückversicherung beschäftigen, und die sich einen kompakten, schnellen und anwendungsorientierten Überblick verschaffen wollen! Those who are dealing with assumed or ceded reinsurance can find here all information at a glance. In the first part the authors deal with traditional assumed reinsurance, i.e., treaty and facultative reinsurance, both proportional and non-proportional in nature. Illustrations, practical examples and exercises enhance the reader's experience. The second part is dedicated to advanced reinsurance, e.g., to methods of alternative risk transfer and work fields in ceded reinsurance. Ideal for the beginner to obtain an application-oriented overview of the relevant concepts and techniques in reinsurance!
Download or read book Optimal Reinsurance written by Ka-Chun Joseph Sung and published by Open Dissertation Press. This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Optimal Reinsurance: a Contemporary Perspective" by Ka-chun, Joseph, Sung, 宋家俊, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: In recent years, general risk measures have played an important role in risk management in both finance and insurance industry. As a consequence, there is an increasing number of research on optimal reinsurance problems using risk measures as yard sticks beyond the classical expected utility framework. In this thesis, the stop-loss reinsurance is first shown to be an optimal contract under law-invariant convex risk measures via a new simple geometric argument. This similar approach is then used to tackle the same optimal reinsurance problem under Value at Risk and Conditional Tail Expectation; it is interesting to note that, instead of stop-loss reinsurances, insurance layers serve as the optimal solution in these cases. These two results hint that law-invariant convex risk measure may be better and more robust to expected larger claims than Value at Risk and Conditional Tail Expectation even though they are more commonly used. In addition, the problem of optimal reinsurance design for a basket of n insurable risks is studied. Without assuming any particular dependence structure, a minimax optimal reinsurance decision formulation for the problem has been successfully proposed. To solve it, the least favorable dependence structure is first identified, and then the stop-loss reinsurances are shown to minimize a general law-invariant convex risk measure of the total retained risk. Sufficient condition for ordering the optimal deductibles are also obtained. Next, a Principal-Agent model is adopted to describe a monopolistic reinsurance market with adverse selection. Under the asymmetry of information, the reinsurer (the principal) aims to maximize the average profit by selling a tailor-made reinsurance to every insurer (agent) from a (huge) family with hidden characteristics. In regard to Basel Capital Accord, each insurer uses Value at Risk as the risk assessment, and also takes the right to choose different risk tolerances. By utilizing the special features of insurance layers, their optimality as the first-best strategy over all feasible reinsurances is proved. Also, the same optimal reinsurance screening problem is studied under other subclass of reinsurances: (i) deductible contracts; (ii) quota-share reinsurances; and (iii) reinsurance contracts with convex indemnity, with the aid of indirect utility functions. In particular, the optimal indirect utility function is shown to be of the stop-loss form under both classes (i) and (ii); while on the other hand, its non-stop-loss nature under class (iii) is revealed. Lastly, a class of nonzero-sum stochastic differential reinsurance games between two insurance companies is studied. Each insurance company is assumed to maximize the difference of the opponent's terminal surplus from that of its own by properly arranging its reinsurance schedule. The surplus process of each insurance company is modeled by a mixed regime-switching Cramer-Lundberg approximation. It is a diffusion risk process with coefficients being modulated by both a continuous-time finite-state Markov Chain and another diffusion process; and correlations among these surplus processes are allowed. In contrast to the tradit
Download or read book Reinsurance Underwriting written by Robert Kiln and published by Taylor & Francis. This book was released on 2017-10-03 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1997. Routledge is an imprint of Taylor and Francis, an informa company.
Download or read book Reinsurance Fundamentals written by Ross Phifer and published by . This book was released on 1996-05-02 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reinsurance Fundamentals is a comprehensive overview of the reinsurance industry and the financial principles that guide it. It is also a penetrating study of real-world reinsurance problems and how to solve them. After an examination of the industry's underpinnings and a brief but fascinating look at its history, author Ross Phifer presents a detailed reinsurance primer. Writing for those familiar with insurance concepts, he offers an in-depth examination of how the reinsurance industry works, explains fundamental ideas, presents practical illustrations of when and how reinsurance arrangements should be considered, and describes the application of reinsurance to speculative financial transactions such as derivatives. Phifer analyzes different types of reinsurance agreements, clause by clause, and supplies thorough explanations of key concepts and their impact on the overall risk transfer. Among the topics discussed are reinsurance cessions, structures, markets, underwriting, proportional pricing, accounting, claims, and contracts. Reinsurance Fundamentals is an invaluable tool for in-house counsel, compliance officers, internal auditors, and risk managers in investment and commercial banking, securities, investment management, mutual funds, and pension fund management. It is also an important resource for corporate financial officers and an excellent reference for insurance underwriters, claims executives, risk managers, and attorneys.
Download or read book An Option Based Approach to Determining the Optimal Reinsurance Stop Loss Premium written by Jorge L. Urrutia and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses option-pricing theory to develop a model for determining the optimal reinsurance premium to be charged by the reinsurer to the primary insurer in a nonproportional stop-loss reinsurance treaty. A discussion of several reinsurance contracts is also presented. It is found that the fair reinsurance premium is given by the weighted sum of the level of claims plus the present value of the maximum payoff to the reinsured less the present value of the reinsured's retention limit. The fair reinsurance premium increases in the maximum amount to be paid by the reinsurer, decreases in the retention limit, and is nonmonotonic in the volatility of underlying claims.
Download or read book Reinsurance written by Andreas Schwepcke and published by VVW GmbH. This book was released on 2004-09-28 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Reinsurance Practices written by Robert W. Strain and published by Robert W. Strain Publishing & Seminars, Incorporated. This book was released on 1982 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Approach to Reinsurance written by Herman Ernest Feer and published by . This book was released on 1951 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Reinsurance Principles and Practice written by Klaus Gerathewohl and published by . This book was released on 1980 with total page 922 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Reinsurance Analysis from a Crop Insurer s Perspective written by Lysa Porth and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Purpose - The primary objective of this paper is to analyze the optimal reinsurance contract structure from the crop insurer's perspective. Design/Methodology/Approach - A very powerful and flexible empirical-based reinsurance model is used to analyze the optimal form of the reinsurance treaty. The reinsurance model is calibrated to unique data sets including private reinsurance experience for Manitoba, and loss cost ratio experience for all of Canada, under the assumption of the standard deviation premium principle and conditional tail expectation risk measure. Findings - The Vasicek distribution is found to provide the best statistical fit for the Canadian LCR data, and the empirical reinsurance model stipulates that a layer reinsurance contract structure is optimal, which is consistent with market practice. Research Limitations/Implications - While the empirical reinsurance model is able to reproduce the optimal shape of the reinsurance treaty, the model produces some inconsistencies between the implied and observed attachment points. Future research will continue to explore the reinsurance model that will best recover the observed market practice. Practical Implications - Private reinsurance premiums can account for a significant portion of a crop insurer's budget, therefore, this study should be useful for crop insurance companies to achieve efficiencies and improve their risk management. Originality/Value - To the best of our knowledge, this is the first paper to show how a crop insurance firm can optimally select a reinsurance contract structure that minimizes its total risk exposure, considering the total losses retained by the insurer, as well as the reinsurance premium paid to private reinsurers.
Download or read book Reinsurance Practices written by and published by . This book was released on 1997 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
