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Euphasio Junior JW, Carvalho JVF. Resseguro e Capital de Solvência: Atenuantes da Probabilidade de Ruína de Seguradoras. RAC: REVISTA DE ADMINISTRAÇÃO CONTEMPORÂNEA 2022. [DOI: 10.1590/1982-7849rac2022200191.por] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/21/2022] Open
Abstract
ABSTRACT Context: insurance companies are important to society, since they guarantee financial protection to individuals from property losses, in addition to fostering the capital market through the allocation of guarantee assets. Thus, it is essential to evaluate the instruments that guarantee their long-term financial solvency. Among them are the adoption of reinsurance treaties, the sizing of the solvency capital, and the actuarial modeling of risk processes, which allow the measurement of the ruin probability. Objective: estimate the ruin probability in risk processes with the adoption of reinsurance contracts (quota share and excess of loss), compared to scenarios without such treaties. Methods: the Cramér-Lundberg process was simulated using the Monte Carlo method, adjusting several probabilistic distributions to the severity of the compound Poisson process, which is calibrated with a set of 3,917,863 real microdata, from 30 insurance lines of business. Results: it was found that, although each branch presents particularities in the claim severity, the correct choice of reinsurance (proportional or not) implies the reduction of the ruin probability for a fixed solvency capital. Conclusion: the appropriate choice of the reinsurance contract, especially when there is evidence of high kurtosis in the claim values, intensifies the exponential decline in the relationship between the solvency capital and the ruin probability.
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Euphasio Junior JW, Carvalho JVF. Reinsurance and Solvency Capital: Mitigating Insurance Companies’ Ruin Probability. RAC: REVISTA DE ADMINISTRAÇÃO CONTEMPORÂNEA 2022. [DOI: 10.1590/1982-7849rac2022200191.en] [Citation(s) in RCA: 2] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/22/2022] Open
Abstract
ABSTRACT Context: insurance companies are important to society, since they guarantee financial protection to individuals from property losses, in addition to fostering the capital market through the allocation of guarantee assets. Thus, it is essential to evaluate the instruments that guarantee their long-term financial solvency. Among them are the adoption of reinsurance treaties, the sizing of the solvency capital, and the actuarial modeling of risk processes, which allow the measurement of the ruin probability. Objective: estimate the ruin probability in risk processes with the adoption of reinsurance contracts (quota share and excess of loss), compared to scenarios without such treaties. Methods: the Cramér-Lundberg process was simulated using the Monte Carlo method, adjusting several probabilistic distributions to the severity of the compound Poisson process, which is calibrated with a set of 3,917,863 real microdata, from 30 insurance lines of business. Results: it was found that, although each branch presents particularities in the claim severity, the correct choice of reinsurance (proportional or not) implies the reduction of the ruin probability for a fixed solvency capital. Conclusion: the appropriate choice of the reinsurance contract, especially when there is evidence of high kurtosis in the claim values, intensifies the exponential decline in the relationship between the solvency capital and the ruin probability.
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Harfouche Z, Bareche A. Semi-parametric approach for approximating the ruin probability of classical risk models with large claims. COMMUN STAT-SIMUL C 2021. [DOI: 10.1080/03610918.2021.1992636] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/20/2022]
Affiliation(s)
- Zineb Harfouche
- Department of Mathematics, Applied Mathematics Laboratory, (LMA), University of Bejaia, Bejaia, Algeria
| | - Aicha Bareche
- Research Unit LaMOS (Modeling and Optimization of Systems), Faculty of Technology, University of Bejaia, Bejaia, Algeria
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Affiliation(s)
- Riccardo Gatto
- Institute of Mathematical Statistics and Actuarial Science, Department of Mathematics and Statistics, University of Bern, Bern, Switzerland
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