Abstract
This paper compares several long-term reinsurance buying strategies for a catastrophe XL programme. The pricing of the programme layers vary over the years depending on the loss experience to the programme. The reinsurance strategies can be described as ‘Constant Cover’ and ‘Constant Spend’ strategies. The modelling is done using ReMetrica II - a visual component based DFA tool developed by Benfield Greig. The risk/return characteristics of the strategies are shown and assumptions and realism of the model discussed.
Related PowerPoint Presentation
Keywords: Reinsurance, DFA
Volume
Washington
Year
2001
Categories
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Dynamic Financial Analysis (DFA);
Business Areas
Reinsurance
Excess (Non-Proportional);
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Reinsurance Analysis
Publications
ASTIN Colloquium
