Premium Risk Net of Reinsurance: From Short-Term to Medium-Term Assessment

Antonio Pallaria and Nino Savelli
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Antonio Pallaria: Department of Statistical Sciences, Università di Roma La Sapienza, Viale Regina Elena 295/G, 00161 Rome, Italy
Nino Savelli: Department of Mathematics for Economic, Financial and Actuarial Sciences, Università Cattolica del Sacro Cuore, Largo Gemelli 1, 20123 Milan, Italy

Risks, 2019, vol. 7, issue 3, 1-29

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.

Keywords: multi-year solvency analysis; collective risk model; reinsurance; premium risk (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2019
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