TY - JOUR
T1 - The Effect of Non-Proportional Reinsurance: A Revision of Solvency II Standard Formula
AU - Clemente, Gian Paolo
PY - 2018
Y1 - 2018
N2 - Solvency II Standard Formula provides a methodology to recognise the risk-mitigating impact of excess of loss reinsurance treaties in premium risk modelling. We analyse the proposals of both Quantitative Impact Study 5 and Commission Delegated Regulation highlighting some inconsistencies. This paper tries to bridge main pitfalls of both versions. To this aim, we propose a revision of non-proportional adjustment factor in order to measure the effect of excess of loss treaties on premium risk volatility. In this way, capital requirement can be easily assessed. As numerical results show, this proposal appears to be a feasible and much more consistent approach to describe the effect of non-proportional reinsurance on premium risk
AB - Solvency II Standard Formula provides a methodology to recognise the risk-mitigating impact of excess of loss reinsurance treaties in premium risk modelling. We analyse the proposals of both Quantitative Impact Study 5 and Commission Delegated Regulation highlighting some inconsistencies. This paper tries to bridge main pitfalls of both versions. To this aim, we propose a revision of non-proportional adjustment factor in order to measure the effect of excess of loss treaties on premium risk volatility. In this way, capital requirement can be easily assessed. As numerical results show, this proposal appears to be a feasible and much more consistent approach to describe the effect of non-proportional reinsurance on premium risk
KW - Collective risk models
KW - Non-proportional reinsurance
KW - Premium risk capital requirement
KW - Solvency II
KW - Collective risk models
KW - Non-proportional reinsurance
KW - Premium risk capital requirement
KW - Solvency II
UR - http://hdl.handle.net/10807/119209
UR - https://www.mdpi.com/2227-9091/6/2/50/pdf
U2 - 10.3390/risks6020050
DO - 10.3390/risks6020050
M3 - Article
SN - 2227-9091
VL - 6
SP - 1
EP - 13
JO - Risks
JF - Risks
ER -