Optimal Reinsurance Programmes

Specialeforsvar: Sigmundur Pauli Hannesarson

Titel: Optimal Reinsurance Programmes:
A Monte Carlo Simulation Framework for Optimising Insurer Preferences under Regulatory Constraints

Abstract: This thesis follows the approach of Zanotto and Clemente [35] to optimally manage the underwriting risks of an insurer through careful leveraging of quota shares and excess-of-loss reinsurance contracts. We start with an exposition of useful tools and techniques for the modelling of insurance risks: frequency and severity models, dependence via copulas and the Iman-Conover method, risk measures. We then optimise the expected return on capital, the coefficient of variation and the solvency ratio of two separate insurers by simulating and identifying optimal reinsurance programmes. We emphasize the flexibiliity of these general Monte Carlo methods as compared to the classical analytical results.

Vejleder: David Glavind Skovmand
Censor:   Thomas Kokholm, Aarhus Universitet