Analysis of risk measures for reinsurance layers

Ladoucette, Sophie A.; Teugels, Jozef L.

doi:10.1016/j.insmatheco.2005.12.005

Cited by 14 publications

(9 citation statements)

References 7 publications

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“…We will thus look at catastrophe and natural hazard insurance contracts and programmes from the point of view of a public policymaker who seeks to structure the insurance/reinsurance market to minimize the total cost of purchasing insurance against a catastrophic loss. Boyer and Dupont-Courtade (2013) show that reinsurance programmes are mostly structured in layers (see also Hurlimann, 2003;Ladoucette and Teugels, 2006) -see Fig. 10 for an example of a reinsurance programme.…”

Section: Public Policy and Insurancementioning

confidence: 96%

Insuring catastrophes and the role of governments

Boyer¹,

Nyce

2013

Nat. Hazards Earth Syst. Sci.

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In this paper we model the cost of providing insurance coverage against natural and man-made hazards. We propose an insurance market model that explains (1) the use of reinsurance to help finance the cost of catastrophic events and (2) the implicit (or explicit) presence of government entities acting as (re)insurers of last resort. Using an economic model, we show how insurance programmes should be designed to cover the losses due to a possible catastrophic natural hazard. Our results show that the optimal structure of a reinsurance programme minimizes the cost of offering insurance protection. We also show how government intervention can reduce the cost of insurance against natural catastrophes and increase policyholders' welfare. Our paper therefore offers public policy implications as to the role and presence of government as an insurer of last resort and the minimum insurance premium necessary to cover the cost of catastrophic events

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Section: Public Policy and Insurancementioning

confidence: 96%

Insuring catastrophes and the role of governments

Boyer¹,

Nyce

2013

Nat. Hazards Earth Syst. Sci.

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“…One may consider u as a lower retention or deductible, u + v as an upper retention or limit of coverage and a represents a proportionality factor. The layer X a,u,v admits the following equivalent formalization (see [5])…”

Section: Reinsurance Layermentioning

confidence: 99%

Risk measures in solvency regulation: reinsurance layers and unexpected loss

Campana¹,

Ferretti²

2014

ams

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The total amount of damage to be paid by an insurance company can be represented as the sum of (reinsurance-)layers, some of which may be transferred to a reinsurer on the basis of an excess of loss treaty. Some risk measures associated with the layers are here investigated, by paying particular attention to the Unexpected Loss function which plays a role in the Solvency II legislative program: in fact in non-life insurance, the standard formula for the calculation of premium and the reserve capital requirement are mainly based on its definition. Starting from the assumption of discrete random variables, explicit formulas and ranges of variation are derived that are useful for its approximate evaluation.Mathematics Subject Classification: 62P05

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“…1 Since reinsurance contracts are often sold in layers (see Garven and Lamm-Tennant, 2003, Hurlimann 2003, and Ladoucette and Teugels, 2006, one can imagine that primary and working layers are more labor intensive than the higher layers that are more capital intensive. Zanjani (2002) argues that capital costs are an important component of reinsurance contract pricing.…”

Section: The Capital and Labor Cost Of Reinsurancementioning

confidence: 99%