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How Much Reinsurance Do You Really Need? A Case Study


  • Peter Boller


  • Michel Dacorogna


  • Hubert Niggli



Today’s reinsurance manager has to balance many diverging interests. Most prominent among these are the risk-return objectives of the company owners and the security requirements of the policyholders. Performance measurement issues and the sheer number of available reinsurance and capital market solutions further complicate the decision-making process. Given the complexity of the problem, it has been our experience that a quantitative approach can help in understanding the risks and the cost of financing them. This leads to more informed decisions. In this article, we guide the reader through the steps of restructuring an existing traditional reinsurance program using quantitative models of the risks. This is done by means of a case study in which concrete insurance lines are analyzed in a sample portfolio.

Suggested Citation

  • Peter Boller & Michel Dacorogna & Hubert Niggli, 2003. "How Much Reinsurance Do You Really Need? A Case Study," Risk and Insurance 0306001, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpri:0306001
    Note: Type of Document - Acrobat PDF; prepared on IBM PC; to print on HP A4; pages: 22 ; figures: included

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    reinsurance; alternative risk transfer; asset liability management; dynamic financial analysis;

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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