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D.08.Kreps
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Reinsurance Risk Load parameters
Investment criteria
Loss distribution
UW conservatism
Usefulness of reins risk load model
prices are usually market driven
used to choose whether to write (reinsr) or accept (insr)
priced on
stand alone
basis ->
overstates
risk load
Reinsr risk load constraints
Reinsr risk load: swap
invest funds in
r
f
cost
= loss of inv inc,
gain
= risk reduction
Reinsr risk load: put
invest in target inv w put to sell @
r
f
cost
= put option,
gain
= incr return & decr variance
Reinsr risk load: adjustments to scenario
more freq pmts / diff pmt pattern
high XS or rare events have non-zero rates w low p(loss)
pooling -> only use model if not pooling or only risk
adjust for spot rate
incorporate correlation
Author
Exam9_2012
ID
139872
Card Set
D.08.Kreps
Description
Investment Equivalent Reinsurance Pricing
Updated
2012-05-09T21:16:45Z
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