An optimal reinsurance simulation model for non-life insurance in the Solvency II framework

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>An optimal reinsurance simulation model for non-life insurance in the Solvency II framework</title>
</titleInfo>
<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20220006644">
<namePart>Zanotto, Alberto</namePart>
<nameIdentifier>MAPA20220006644</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">che</placeTerm>
</place>
<dateIssued encoding="marc">2022</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">In this paper, we propose an approach to explore reinsurance optimization for a non-life multi-line insurer through a simulation model that combines alternative reinsurance treaties. Based on the Solvency II framework, the model maximises both solvency ratio and portfolio performance under user-defined constraints. Data visualisation helps understanding the numerical results and, together with the concept of the Pareto frontier, supports the selection of the optimal reinsurance program. We show in the case study that the methodology can be easily restructured to deal with multi-objective optimization, and, finally, the selected programs from each proposed problem are compared.

</abstract>
<note type="statement of responsibility">Alberto Zanotto, Gian Paolo Clemente</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20210010392">
<topic>Simulación</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080564254">
<topic>Solvencia II</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080573935">
<topic>Seguros no vida</topic>
</subject>
<classification authority="">6</classification>
<relatedItem type="host">
<titleInfo>
<title>European Actuarial Journal</title>
</titleInfo>
<originInfo>
<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
</originInfo>
<identifier type="local">MAP20220007085</identifier>
<part>
<text>06/06/2022 Volúmen 12 - Número 1 - junio 2022 , p. 89-123</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">220701</recordCreationDate>
<recordChangeDate encoding="iso8601">20220701133632.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20220019811</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>