Centro de Documentación de Fundación MAPFRE - On marine liability portfolio modeling

MAP20200009917

On marine liability portfolio modeling / William Guevara-Alarcón, Hansjörg Albrecher, Parvez Chowdhury

Sumario: Marine is the oldest type of insurance coverage. Nevertheless, unlike cargo and hull covers, marine liability is a rather young line of business with claims that can have very heavy and long tails. For reinsurers, the accumulation of losses from an event insured by various Protection and Indemnity clubs is an additional source for very large claims in the portfolio. In this paper, we first describe some recent developments of the marine liability market and then statistically analyze a data set of large losses for this line of business in a detailed manner both in terms of frequency and severity, including censoring techniques and tests for stationarity over time. We further formalize and examine an optimization problem that occurs for reinsurers participating in XL on XL coverages in this line of business and give illustrations of its solution

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2020 Volumen 50 Número 1 - enero 2020 , p. 61-93

1. Seguro marítimo . 2. Teoría del valor extremo . 3. Cálculo actuarial . 4. Modelos actuariales . 5. Reaseguro . I. Albrecher, Hansjörg . II. Chowdhury, Parvez . III. Title.