Research area: actuarial science / finance
Department: Insurance Advisory
Supervisor: drs. Arianne Eckhardt AAG and dr. Bert Kramer
Description: ALM models for property and casualty (P&C) insurance companies need very different liability models than models for life insurance companies. One of the components of such a liability model is the generation of scenarios of the number of claims and the size of the claims. The first objective of this project is to refine an existing P&C liability scenario model. Here one can think of introducing a relation between economic variables and the liability scenarios. An often heard hypothesis is that during recessions the number and / or size of claims increases. Of course, such a relation needs to be investigated properly before proceeding with model adjustments. One of the strongest policy instruments of a P&C insurance company are the reinsurance arrangements. By means of such reinsurance contracts an insurance company can choose which insurance risks remain on her own balance sheet and which risks are transferred to a specialized reinsurance company. Selecting a reinsurance contract must be done with great care because reinsurance can be expensive and should therefore provide the required risk reduction at the lowest price. The second objective of this project is to extend an existing ALM model for P&C companies with models to optimize these reinsurance policies.
Background information:
Carter, R.L. (1983), “Reinsurance”, Kluwer, Brentford.
Daykin, C.D., Pentikainen, T. and Pesonen, M. (1994), ”Practical Risk Theory for Actuaries”, Chapman & Hall, Londen.