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

Notas: 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.

Registros relacionados: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 161-183Materia / lugar / evento: Mercado de reaseguros Modelos de simulación Contrato de reaseguro Outras classificações: 5

Direitos: In Copyright (InC)

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