An optimal reinsurance simulation model for non-life insurance in the Solvency II framework

Gian Paolo Clemente, Alberto Zanotto

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, we propose an approach to explore reinsurance optimization for a non-life multi-line insurer through a simulation model that combines alternative reinsurance treaties. Based on the Solvency II framework, the model maximises both solvency ratio and portfolio performance under user-defined constraints. Data visualisation helps understanding the numerical results and, together with the concept of the Pareto frontier, supports the selection of the optimal reinsurance program. We show in the case study that the methodology can be easily restructured to deal with multi-objective optimization, and, finally, the selected programs from each proposed problem are compared.
Original languageEnglish
Pages (from-to)N/A-N/A
JournalEuropean Actuarial Journal
DOIs
Publication statusPublished - 2021

Keywords

  • Collective risk model
  • Excess of loss
  • Optimal reinsurance
  • Pareto frontier
  • Quota share
  • Solvency II

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