The total amount of damage to be paid by an insurance company can be represented as the sum of (reinsurance-)layers, some of which may be transferred to a reinsurer on the basis of an excess of loss treaty. Some risk measures associated with the layers are here investigated, by paying particular attention to the Unexpected Loss function which plays a role in the Solvency II legislative program: in fact in non-life insurance, the standard formula for the calculation of premium and the reserve capital requirement are mainly based on its definition. Starting from the assumption of discrete random variables, explicit formulas and ranges of variation are derived that are useful for its approximate evaluation.

Risk Measures in Solvency Regulation: Reinsurance Layers and Unexpected Loss

FERRETTI, Paola
2014-01-01

Abstract

The total amount of damage to be paid by an insurance company can be represented as the sum of (reinsurance-)layers, some of which may be transferred to a reinsurer on the basis of an excess of loss treaty. Some risk measures associated with the layers are here investigated, by paying particular attention to the Unexpected Loss function which plays a role in the Solvency II legislative program: in fact in non-life insurance, the standard formula for the calculation of premium and the reserve capital requirement are mainly based on its definition. Starting from the assumption of discrete random variables, explicit formulas and ranges of variation are derived that are useful for its approximate evaluation.
File in questo prodotto:
File Dimensione Formato  
ferrettiAMS113-116-2014.pdf

non disponibili

Tipologia: Documento in Post-print
Licenza: Accesso chiuso-personale
Dimensione 223.24 kB
Formato Adobe PDF
223.24 kB Adobe PDF   Visualizza/Apri

I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/42309
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 0
  • ???jsp.display-item.citation.isi??? ND
social impact