Solvency II requirements introduced new issues for actuarial risk management in non-life insurance, challenging the market to have a consciousness of its own risk profile, and also investigating the sensitivity of the solvency ratio depending on the insurance risks and technical results on either a short-term and medium-term perspective. For this aim, in the present paper, a partial internal model for premium risk is developed for three multi-line non-life insurers, and the impact of some different business mixes is analyzed. Furthermore, the risk-mitigation and profitability impact of reinsurance in the premium risk model are introduced, and a global framework for a feasible application of this model consistent with a medium-term analysis is provided. Numerical results are also figured out with evidence of various effects for several portfolios and reinsurance arrangements, pointing out the main reasons for these differences.

Premium Risk net of Reinsurance: from short-term to medium term assessment / Pallaria, Antonio; Savelli, Nino. - In: RISKS. - ISSN 2227-9091. - 7:3(2019), pp. 1-29. [10.3390/risks7030072]

Premium Risk net of Reinsurance: from short-term to medium term assessment

PALLARIA, ANTONIO
Primo
;
SAVELLI, NINO
2019

Abstract

Solvency II requirements introduced new issues for actuarial risk management in non-life insurance, challenging the market to have a consciousness of its own risk profile, and also investigating the sensitivity of the solvency ratio depending on the insurance risks and technical results on either a short-term and medium-term perspective. For this aim, in the present paper, a partial internal model for premium risk is developed for three multi-line non-life insurers, and the impact of some different business mixes is analyzed. Furthermore, the risk-mitigation and profitability impact of reinsurance in the premium risk model are introduced, and a global framework for a feasible application of this model consistent with a medium-term analysis is provided. Numerical results are also figured out with evidence of various effects for several portfolios and reinsurance arrangements, pointing out the main reasons for these differences.
2019
multi-year solvency analysis; collective risk model; reinsurance; premium risk
01 Pubblicazione su rivista::01a Articolo in rivista
Premium Risk net of Reinsurance: from short-term to medium term assessment / Pallaria, Antonio; Savelli, Nino. - In: RISKS. - ISSN 2227-9091. - 7:3(2019), pp. 1-29. [10.3390/risks7030072]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1316268
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