30 résultats pour « reinsurance »

EIOPA proposes one‑to‑one capital requirements for EU insurers’ crypto asset holdings

EIOPA highlights the lack of consistent regulatory treatment for crypto assets in the (re)insurance sector, raising concerns about risk sensitivity. Current capital weight options may underestimate crypto risks. To ensure prudence, EIOPA proposes a uniform 100% capital requirement for all crypto holdings. This approach balances risk management with simplicity while acknowledging that future market growth may require revisions. A review of crypto treatment under Solvency II is recommended as the sector evolves.

Robust Elicitable Functionals

Elicitable functionals and consistent scoring functions aid in optimal forecasting but assume correct distributions, which is unrealistic. To address this, robust elicitable functionals account for small misspecifications using Kullback-Leibler divergence. These robust functionals maintain statistical properties and are applied in reinsurance and robust regression settings.

Estimation of Generalized Tail Distortion Risk Measures with Applications in Reinsurance

New estimators for generalized tail distortion (GTD) risk measures are proposed, based on first-order asymptotic expansions, offering simplicity and comparable or better performance than existing methods. A reinsurance premium principle using GTD risk measure is tested on car insurance claims data, suggesting its effectiveness in embedding safety loading in pricing to counter statistical uncertainty.

Adverse Development Cover for Property & Casualty Insurers

"An adverse development cover (ADC) is a form of an excess of loss reinsurance contract that provides coverage for future loss payments relating to claims incurred prior to a specified date… A framework for assessing the value of an ADC from the perspective of the ceding insurer is developed. This value assists in making decisions regarding the acquisition of an ADC, comparing available options on offer and accounting for the ADC under the IFRS17 accounting standard."

IFRS 17 Challenges for Reinsurance: Fitting a Square Peg in a Round Hole

"This article provides an insightful overview of the challenges encountered by the #insuranceindustry when applying the requirements of #ifrs17 to #reinsurance contracts... By delving into specific challenges and offering potential solutions, the article aims to shed light on the intricacies of implementing IFRS 17 and the resulting mismatches in #financialreporting, including their impact on #solvencyii practices."

A History of Cyber Risk Transfer

While previous research has focused on #cyberrisk #riskmitigation measures, this study describes the emergence of various real-world cyber #risktransfer products in the last decade, including #warranties, #cloudcomputing partnerships, #parametricinsurance, #reinsurance, and #cyber #catbonds.

Reinsurance and Sustainability: Evidence From International Insurers

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"In this article we analyze a sample of international #insurers between 2013 and 2022, and show that the purchase of #reinsurance is negatively related to their #sustainability, as measured by #esg scores. Furthermore, we illustrate that insurers' losses decrease with higher levels of reinsurance and sustainability. However, while reinsurance brings down insurers' profitability, sound ESG scores are related to lower expenses and increasing profitability. Our interpretation is that strong ESG profiles may serve as a cheaper alternative to reinsurance for #riskmitigation."

Optimal Reinsurance with Multivariate Risks and Dependence Uncertainty

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This paper explores the optimal #reinsurance design for an #insurer with multiple lines of business, where the dependence structure between #risks is unknown. The study considers Value-at-Risk (#var) and Range-Value-at-Risk (#rvar) as #riskmeasures and applies general premium principles. The optimal reinsurance strategies are obtained under budget constraint and expected profit constraint.