Centro de Documentacion de Fundación MAPFRE - Indifference pricing of reinsurance with reinstatements using coherent monetary criteria

MAP20220007191

Indifference pricing of reinsurance with reinstatements using coherent monetary criteria / Nabil Kazi-Tani

Sumario: We consider the problem of indifference pricing of reinsurance contracts that contain a reinstatement clause. We define the indifference price relative to both a monetary utility function and a risk measure, to take into account both the risk reduction and the relief of capital immobilization provided by reinsurance. We characterize the indifference price as the unique solution to a fixed point equation and we bound the price by two easily computable values, if one has access to losses simulations. We illustrate our results on a European catastrophe insurance portfolio, and we conduct a simulation study for comparison and reproducibility purposes, where we include the case of dependence between claim arrivals, using Hawkes processes.

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 161-183

1. Mercado de reaseguros . 2. Modelos de simulación . 3. Contrato de reaseguro . I. Título.