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Modelling the Impact of Reinsurance on Financial Strength

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  • Coutts, S.M.
  • Thomas, T.R.H.

Abstract

This paper develops the Daykin et al (1994) asset/liability model to examine specifically the effects of different reinsurance programmes on the capital of a direct insurance company. By modelling the gross premiums and claims separately from the impact of reinsurance on them, it is possible to examine directly the effects of different reinsurance programmes on a company's expected performance just as easily as changes in asset mix or business volumes. The paper goes on to discuss the necessary assumptions to be built into such a model, and then gives a worked example. The emphasis of the paper is on management reporting rather than on mathematical detail.

Suggested Citation

  • Coutts, S.M. & Thomas, T.R.H., 1997. "Modelling the Impact of Reinsurance on Financial Strength," British Actuarial Journal, Cambridge University Press, vol. 3(3), pages 583-653, August.
    • Handle: RePEc:cup:bracjl:v:3:y:1997:i:03:p:583-653_00
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    Cited by:

    1. 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.
    2. Payandeh Najafabadi, Amir T. & Bazaz, Ali Panahi, 2016. "An optimal co-reinsurance strategy," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 149-155.

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