Centro de Documentacion de Fundación MAPFRE - An optimal reinsurance simulation model for non-life insurance in the Solvency II framework

MAP20220019811

An optimal reinsurance simulation model for non-life insurance in the Solvency II framework / Alberto Zanotto, Gian Paolo Clemente

Sumario: 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.

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 06/06/2022 Volúmen 12 - Número 1 - junio 2022 , p. 89-123

1. Simulación . 2. Solvencia II . 3. Cálculo actuarial . 4. Seguros no vida . I. Título.