Optimal non-life reinsurance under Solvency II Regime

被引：7

作者：

Asimit, Alexandru V. ^{[1
]}

Chi, Yichun ^{[2
]}

Hu, Junlei ^{[1
]}

机构：

[1] City Univ London, Cass Business Sch, London EC1Y 8TZ, England

[2] Cent Univ Finance & Econ, China Inst Actuarial Sci, Beijing 100081, Peoples R China

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2015年 / 65卷

基金：

中国国家自然科学基金;

关键词：

Optimal reinsurance; Risk margin; General premium principle; Solvency II; Technical provision; RISK MEASURES; STOP-LOSS; DISTORTION;

D O I：

10.1016/j.insmatheco.2015.09.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The optimal reinsurance contract is investigated from the perspective of an insurer who would like to minimise its risk exposure under Solvency II. Under this regulatory framework, the insurer is exposed to the retained risk, reinsurance premium and change in the risk margin requirement as a result of reinsurance. Depending on how the risk margin corresponding to the reserve risk is calculated, two optimal reinsurance problems are formulated. We show that the optimal reinsurance policy can be in the form of two layers. Further, numerical examples illustrate that the optimal two-layer reinsurance contracts are only slightly different under these two methodologies. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：227 / 237

页数：11

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