City Research Online

Optimal non-life reinsurance under Solvency II Regime

Asimit, A.V., Chi, Y. & Hu, J. (2015). Optimal non-life reinsurance under Solvency II Regime. Insurance: Mathematics and Economics, 65, pp. 227-237. doi: 10.1016/j.insmatheco.2015.09.006

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.

Publication Type: Article
Additional Information: © 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Publisher Keywords: Optimal reinsurance; Risk margin; General premium principle; Solvency II; Technical provision
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Actuarial Science & Insurance
Related URLs:
SWORD Depositor:
[thumbnail of Asimit_Chi_Hu_2015_IME_final.pdf]
Preview
Text - Accepted Version
Available under License : See the attached licence file.

Download (290kB) | Preview
[thumbnail of Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence]
Preview
Text (Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence) - Other
Download (201kB) | Preview

Export

Add to AnyAdd to TwitterAdd to FacebookAdd to LinkedinAdd to PinterestAdd to Email

Downloads

Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login