Optimization of parameters of a reinsurance agreement in non-life insurance

Date

2014-06-18

Journal Title

Journal ISSN

Volume Title

Publisher

Tartu Ülikool

Abstract

The primary purpose of this thesis is to determine the methodologies of composing the optimal risk transfer mechanism from the direct insurer's point of view. The study aims to investigate reinsurance optimization approaches developed by the actuarial science with an emphasis on the derivation of mathematical formulation of the retention level, being a prior parameter of the reinsurance agreement. The application of derived techniques to quota share and excess of loss reinsurance treaties is discussed. Since it is usually admitted that reinsurance should ensure cedent’s financial stability, the simulation model is composed to link the direct insurer’s risk process and reinsurance parameter in order to analyze the effects of examined optimization methodologies on the insurer’s general financial performance. Consequently, the conclusions based on obtained simulation results are provided.

Description

Keywords

kahjukindlustus, edasikindlustus, kindlustuslepingud, optimeerimine

Citation