The objective of this paper is to analyze - in a Risk-Based Capital framework - the equilibrium conditions between the Insurer (Cedant) and the Reinsurer with respect to linear and non-linear reinsurance strategies or appropriate combinations thereof. The analysis is conducted through a stochastic simulation of the management model of an insurance company managing a portfolio of life annuities.

Optimal reinsurance programs for a portfolio of life annuities

D'ORTONA N;MARCARELLI G
2011

Abstract

The objective of this paper is to analyze - in a Risk-Based Capital framework - the equilibrium conditions between the Insurer (Cedant) and the Reinsurer with respect to linear and non-linear reinsurance strategies or appropriate combinations thereof. The analysis is conducted through a stochastic simulation of the management model of an insurance company managing a portfolio of life annuities.
Reinsurance Programs; Target Capital; Internal Risk Models; Probability of ruin; Expected ROE; Solvency requirements
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/20.500.12070/2600
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