Indifference pricing of reinsurance with reinstatements using coherent monetary criteria

Autor: Nabil Kazi-Tani
Přispěvatelé: Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, Kazi-Tani, Nabil
Rok vydání: 2021
Předmět:
Statistics and Probability
Reinsurance
[MATH.MATH-PR] Mathematics [math]/Probability [math.PR]
Economics and Econometrics
[QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR]
Insurance premium calculation
media_common.quotation_subject
[QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM]
[QFIN.PR] Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR]
01 natural sciences
010104 statistics & probability
0502 economics and business
Econometrics
Economics
[QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM]
0101 mathematics
Function (engineering)
Convex risk measures
Financial services
media_common
050208 finance
AMS 2020 subject classifications: 91G05
91B05
91B16
62P05
business.industry
Mathematical finance
Risk measure
05 social sciences
Indifference price
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
Capital (economics)
Reinstatements
Portfolio
Statistics
Probability and Uncertainty
business
Reinsurance layers
Concave monetary utility functions
Zdroj: European Actuarial Journal. 11:161-183
ISSN: 2190-9741
2190-9733
DOI: 10.1007/s13385-020-00257-8
Popis: We consider the problem of indifference pricing of reinsurance contracts that contain a reinstatement clause. We define the indifference price relative to both a monetary utility function and a risk measure, to take into account both the risk reduction and the relief of capital immobilization provided by reinsurance. We characterize the indifference price as the unique solution to a fixed point equation and we bound the price by two easily computable values, if one has access to losses simulations. We illustrate our results on a European catastrophe insurance portfolio, and we conduct a simulation study for comparison and reproducibility purposes, where we include the case of dependence between claim arrivals, using Hawkes processes.
Databáze: OpenAIRE
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