D.08.Kreps

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

139872

Card Set

D.08.Kreps

Description

Investment Equivalent Reinsurance Pricing

Updated

2012-05-09T21:16:45Z

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