Resseguro e Capital de Solvência: Atenuantes da Probabilidade de Ruína de SeguradorasReinsurance and Solvency Capital: Mitigating Insurance Companies’ Ruin Probability

Jorge Wilson Euphasio Junior and João Vinícius França Carvalho

RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), 2022, vol. 26, issue 1, e200191

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.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://rac.anpad.org.br/index.php/rac/article/view/1490 (text/html)
https://rac.anpad.org.br/index.php/rac/article/view/1490/1679 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:abg:anprac:v:26:y:2022:i:1:1490

Access Statistics for this article

RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration) is currently edited by Marcelo de Souza Bispo

More articles in RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration) from ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração
Bibliographic data for series maintained by Information Technology of ANPAD ().