Abstract
Proportional reinsurance is often thought to be a very simple method of covering the portfolio of an insurer. Theoreticians have not been particularly interested in analysing the optimality properties of these types of reinsurance covers. In this paper, we will use a real-life insurance portfolio in order to compare four proportional structures: quota share reinsurance, variable quota share reinsurance, surplus reinsurance and surplus reinsurance with a table of lines. We adopt the point of view of the ceding company and propose ways to optimize the proportional covers of the primary insurer.
Volume
Spring
Page
93 - 114
Year
2005
Categories
Actuarial Applications and Methodologies
Ratemaking
Exposure Bases
Exposure Rating
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
RAROC
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Reinsurance Analysis
Business Areas
Reinsurance
Surplus Share
Financial and Statistical Methods
Risk Measures
Tail-Value-at-Risk (TVAR);
Business Areas
Fire and Allied Lines
Publications
Casualty Actuarial Society E-Forum
Documents
