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

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      <subfield code="a">An optimal reinsurance simulation model for non-life insurance in the Solvency II framework</subfield>
      <subfield code="c">Alberto Zanotto, Gian Paolo Clemente</subfield>
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      <subfield code="a">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.

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      <subfield code="a">Simulación</subfield>
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      <subfield code="a">Solvencia II</subfield>
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      <subfield code="a">Cálculo actuarial</subfield>
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      <subfield code="a">Seguros no vida</subfield>
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      <subfield code="g">06/06/2022 Número 1 - junio 2022 , p. 89-123</subfield>
      <subfield code="t">European Actuarial Journal</subfield>
      <subfield code="d">Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</subfield>
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