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Premium Risk Net of Reinsurance: From Short-Term to Medium-Term Assessment

Author

Listed:
  • Antonio Pallaria

    (Department of Statistical Sciences, Università di Roma La Sapienza, Viale Regina Elena 295/G, 00161 Rome, Italy
    These authors contributed equally to this work.)

  • Nino Savelli

    (Department of Mathematics for Economic, Financial and Actuarial Sciences, Università Cattolica del Sacro Cuore, Largo Gemelli 1, 20123 Milan, Italy
    These authors contributed equally to this work.)

Abstract

Solvency II requirements introduced new issues for actuarial risk management in non-life insurance, challenging the market to have a consciousness of its own risk profile, and also investigating the sensitivity of the solvency ratio depending on the insurance risks and technical results on either a short-term and medium-term perspective. For this aim, in the present paper, a partial internal model for premium risk is developed for three multi-line non-life insurers, and the impact of some different business mixes is analyzed. Furthermore, the risk-mitigation and profitability impact of reinsurance in the premium risk model are introduced, and a global framework for a feasible application of this model consistent with a medium-term analysis is provided. Numerical results are also figured out with evidence of various effects for several portfolios and reinsurance arrangements, pointing out the main reasons for these differences.

Suggested Citation

  • Antonio Pallaria & Nino Savelli, 2019. "Premium Risk Net of Reinsurance: From Short-Term to Medium-Term Assessment," Risks, MDPI, vol. 7(3), pages 1-29, July.
    • Handle: RePEc:gam:jrisks:v:7:y:2019:i:3:p:72-:d:244702
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    References listed on IDEAS

    as
    1. Gian Paolo Clemente, 2018. "The Effect of Non-Proportional Reinsurance: A Revision of Solvency II Standard Formula," Risks, MDPI, vol. 6(2), pages 1-13, May.
    2. Gian Paolo Clemente & Nino Savelli & Diego Zappa, 2015. "The Impact of Reinsurance Strategies on Capital Requirements for Premium Risk in Insurance," Risks, MDPI, vol. 3(2), pages 1-19, June.
    Full references (including those not matched with items on IDEAS)

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    1. Gian Paolo Clemente, 2018. "The Effect of Non-Proportional Reinsurance: A Revision of Solvency II Standard Formula," Risks, MDPI, vol. 6(2), pages 1-13, May.
    2. Emilia CLIPICI, 2019. "The Risk's Transfer through Reinsurance for Non-life Insurances," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 154-161.

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