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Keywords = multi-year solvency analysis

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34 pages, 6169 KiB  
Article
A Solvency II Partial Internal Model Considering Reinsurance and Counterparty Default Risk
by Matteo Crisafulli
J. Risk Financial Manag. 2024, 17(4), 148; https://doi.org/10.3390/jrfm17040148 - 6 Apr 2024
Viewed by 1751
Abstract
Estimating the expected capital and its variability is a crucial objective for a non-life insurance company, which enables the firm to develop effective management strategies. Many studies have been devoted to this topic, with simulative approaches being especially employed for solving the complexity [...] Read more.
Estimating the expected capital and its variability is a crucial objective for a non-life insurance company, which enables the firm to develop effective management strategies. Many studies have been devoted to this topic, with simulative approaches being especially employed for solving the complexity of the interacting risks, not manageable through closed-form solutions. In this paper, we present a realistic framework based on Solvency II for the definition of next-year capital of a non-life insurer, including reinsurance treaties and counterparty default risk, in a multi-line of business setting. We determine the mean and variance of the stochastic capital considering both quota share and excess-of-loss reinsurance. We show how these closed-form results enable the analysis of many different real-world strategies, granting the insurer the possibility of choosing the optimal policy without the computational resources and time constraints required by simulative approaches. Full article
(This article belongs to the Special Issue Big Data and Complex Networks in Finance and Insurance)
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29 pages, 1079 KiB  
Article
Premium Risk Net of Reinsurance: From Short-Term to Medium-Term Assessment
by Antonio Pallaria and Nino Savelli
Risks 2019, 7(3), 72; https://doi.org/10.3390/risks7030072 - 1 Jul 2019
Viewed by 5574
Abstract
Solvency II requirements introduced new issues for actuarial risk management in non-life insurance, challenging the market to have a consciousness of its own risk profile, and also investigating the sensitivity of the solvency ratio depending on the insurance risks and technical results on [...] Read more.
Solvency II requirements introduced new issues for actuarial risk management in non-life insurance, challenging the market to have a consciousness of its own risk profile, and also investigating the sensitivity of the solvency ratio depending on the insurance risks and technical results on either a short-term and medium-term perspective. For this aim, in the present paper, a partial internal model for premium risk is developed for three multi-line non-life insurers, and the impact of some different business mixes is analyzed. Furthermore, the risk-mitigation and profitability impact of reinsurance in the premium risk model are introduced, and a global framework for a feasible application of this model consistent with a medium-term analysis is provided. Numerical results are also figured out with evidence of various effects for several portfolios and reinsurance arrangements, pointing out the main reasons for these differences. Full article
(This article belongs to the Special Issue New Perspectives in Actuarial Risk Management)
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