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Optimal non-life reinsurance under Solvency II Regime

Asimit, Alexandru V and Chi, Yichun and Hu, Junlei (2015) 'Optimal non-life reinsurance under Solvency II Regime.' Insurance: Mathematics and Economics, 65. 227 - 237. ISSN 0167-6687

Asimit_Chi_Hu_2015_IME_final.pdf - Accepted Version

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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.

Item Type: Article
Uncontrolled Keywords: Optimal reinsurance, Risk margin, General premium principle, Solvency II, Technical provision
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Divisions: Faculty of Science and Health > Mathematical Sciences, Department of
Depositing User: Elements
Date Deposited: 06 Feb 2019 10:24
Last Modified: 06 Feb 2019 10:24

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