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Heuristic Optimization of Reinsurance Programs and Implications for Reinsurance Buyers

In: Operations Research Proceedings 2006

Author

Listed:
  • Andreas Mitschele

    (University of Karlsruhe
    GILLARDON AG financial software)

  • Ingo Oesterreicher

    (University of Karlsruhe)

  • Frank Schlottmann

    (GILLARDON AG financial software)

  • Detlef Seese

    (University of Karlsruhe)

Abstract

Reinsurance contracts represent a very important tool for insurance companies to manage their risk portfolio. In general, they are used if an insurer is not willing or not able to hold certain risk exposures or parts thereof on its own. There exist two main contract types to cede claims to a reinsurer, namely proportional and non-proportional ones. With the quota share reinsurance, a well-known variant of the former ones, a fixed percentage of the claim sizes is ceded to the reinsurance company. Excess of loss and stop loss are non-proportional types and the reinsurer is only liable to pay if certain losses are exceeded. In practice insurance companies usually place a number of different reinsurance contracts, a so-called reinsurance program.

Suggested Citation

  • Andreas Mitschele & Ingo Oesterreicher & Frank Schlottmann & Detlef Seese, 2007. "Heuristic Optimization of Reinsurance Programs and Implications for Reinsurance Buyers," Operations Research Proceedings, in: Karl-Heinz Waldmann & Ulrike M. Stocker (ed.), Operations Research Proceedings 2006, pages 287-292, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-69995-8_47
    DOI: 10.1007/978-3-540-69995-8_47
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