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Reinsurance and securitisation of life insurance risk : the impact of regulatory constraints
Recurso electrónico / electronic resource
MARC record
Tag12Value
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001  MAP20130024165
003  MAP
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1001 ‎$0‎​MAPA20080154943‎$a‎​Barrieu, Pauline ‌
24510‎$a‎​Reinsurance and securitisation of life insurance risk‎$b‎​: the impact of regulatory constraints‎$c‎​Pauline Barrieu, Henri Loubergé
520  ‎$a‎​Large systematic risks, such as those arising from natural catastrophes, climatic changes and uncertain trends in longevity increases, have risen in prominence at a societal level and, more particularly, have become a highly relevant issue for the insurance industry. Against this background, the combination of reinsurance and capital market solutions (insurance-linked securities) has received an increasing interest. In this paper, we develop a general model of optimal risk-sharing among three representative agentsan insurer, a reinsurer and a financial investor, making a distinction between systematic and idiosyncratic risks. We focus on the impact of regulation on risk transfer, by differentiating reinsurance and securitisation in terms of their impact on reserve requirements. Our results show that different regulatory prescriptions will lead to quite different results in terms of global risk-sharing
650 4‎$0‎​MAPA20080610319‎$a‎​Distribución de riesgos ‌
650 4‎$0‎​MAPA20080555016‎$a‎​Longevidad ‌
650 4‎$0‎​MAPA20080552367‎$a‎​Reaseguro ‌
650 4‎$0‎​MAPA20080608538‎$a‎​Seguros de vida riesgo ‌
650 4‎$0‎​MAPA20080564407‎$a‎​Titulización ‌
7001 ‎$0‎​MAPA20080139247‎$a‎​Loubergé, Henri ‌
7730 ‎$w‎​MAP20077100574‎$t‎​Insurance : mathematics and economics‎$d‎​Oxford : Elsevier, 1990-‎$x‎​0167-6687‎$g‎​04/03/2013 Volumen 52 Número 2 - marzo 2013 , P. 135-144