Heuristic Optimization of Reinsurance Programs and Implications for Reinsurance Buyers

Andreas Mitschele (), Ingo Oesterreicher (), Frank Schlottmann () and Detlef Seese ()
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Andreas Mitschele: University of Karlsruhe
Ingo Oesterreicher: University of Karlsruhe
Frank Schlottmann: GILLARDON AG financial software
Detlef Seese: University of Karlsruhe

A chapter in Operations Research Proceedings 2006, 2007, pp 287-292 from Springer

Abstract: Abstract Reinsurance contracts represent a very important tool for insurance companies to manage their risk portfolio. In general, they are used if an insurer is not willing or not able to hold certain risk exposures or parts thereof on its own. There exist two main contract types to cede claims to a reinsurer, namely proportional and non-proportional ones. With the quota share reinsurance, a well-known variant of the former ones, a fixed percentage of the claim sizes is ceded to the reinsurance company. Excess of loss and stop loss are non-proportional types and the reinsurer is only liable to pay if certain losses are exceeded. In practice insurance companies usually place a number of different reinsurance contracts, a so-called reinsurance program.

Keywords: Pareto Front; Heuristic Optimization; Claim Size; Optimal Reinsurance; Quota Share (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/978-3-540-69995-8_47

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