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Modelling the Impact of Reinsurance on Financial Strength

Published online by Cambridge University Press:  10 June 2011

S.M. Coutts  and
T.R.H. Thomas
S.M. Coutts
Affiliation:
International Actuarial Consultants, 65 New Cavendish Street, London, W1M 7RD, U.K. Tel: +44 (0)20 7636 4880; Fax: +44 (0)20 7636 4850; E-mail:[email protected]
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Abstract

This paper develops the Daykin et al (1994) asset/liability model to examine specifically the effects of different reinsurance programmes on the capital of a direct insurance company. By modelling the gross premiums and claims separately from the impact of reinsurance on them, it is possible to examine directly the effects of different reinsurance programmes on a company's expected performance just as easily as changes in asset mix or business volumes. The paper goes on to discuss the necessary assumptions to be built into such a model, and then gives a worked example. The emphasis of the paper is on management reporting rather than on mathematical detail.

Keywords

General InsuranceReinsurance ProgrammesCapital at RiskManagement Reports
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 3 , Issue 3 , 01 August 1997 , pp. 583 - 653
Copyright
Copyright © Institute and Faculty of Actuaries 1997

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References

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