Optimal non-life reinsurance under Solvency II Regime |
| |
Affiliation: | 1. Cass Business School, City University, London EC1Y 8TZ, United Kingdom;2. China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, 100081, China;1. Carlos III University of Madrid, C/Madrid, 126, 28903 Getafe, Spain;2. Sorbonnes Université, Université de Technologie de Compiègne, CNRS, UMR Heudiasyc, 57 Av. de Landshut, 60203 Compiègne, France |
| |
Abstract: | The optimal reinsurance contract is investigated from the perspective of an insurer who would like to minimise its risk exposure under Solvency II. Under this regulatory framework, the insurer is exposed to the retained risk, reinsurance premium and change in the risk margin requirement as a result of reinsurance. Depending on how the risk margin corresponding to the reserve risk is calculated, two optimal reinsurance problems are formulated. We show that the optimal reinsurance policy can be in the form of two layers. Further, numerical examples illustrate that the optimal two-layer reinsurance contracts are only slightly different under these two methodologies. |
| |
Keywords: | Optimal reinsurance Risk margin General premium principle Solvency II Technical provision |
本文献已被 ScienceDirect 等数据库收录! |
|