Insurer’s optimal reinsurance programs

This paper takes the point of view of an insurance company bearing demographic risk. Tools for facing such risks which affect life insurance portfolios are discussed, namely capital allocation and risk transfers. With regard to the latter, advantages coming from some reinsurance programs are investigated; finally, the amounts of capital required for solvency in the different situations are compared within a simplified probabilistic framework. The simulations have been performed by applying the Monte Carlo Method to insurance variables, through the individual actual approach.