An Integrated Approach to Reserve for Assumed Reinsurance

Standard reserving techniques of squaring the triangle are difficult or impossible to apply to a portfolio of assumed reinsurance. A portfolio of assumed reinsurance is typically comprised of very dissimilar risks. This paper outlines a method to reserve at the individual contract level as a means to develop a reserve for the entire portfolio. The method also generates an aggregate loss distribution for each contract, and through a Monte Carlo simulation, an aggregate loss distribution for the portfolio. Reinsurance Research - Reserving