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Open AccessArticle

Premium Risk Net of Reinsurance: From Short-Term to Medium-Term Assessment

by Antonio Pallaria 1,*,† and Nino Savelli 2,†
1
Department of Statistical Sciences, Università di Roma La Sapienza, Viale Regina Elena 295/G, 00161 Rome, Italy
2
Department of Mathematics for Economic, Financial and Actuarial Sciences, Università Cattolica del Sacro Cuore, Largo Gemelli 1, 20123 Milan, Italy
*
Author to whom correspondence should be addressed.
These authors contributed equally to this work.
Risks 2019, 7(3), 72; https://doi.org/10.3390/risks7030072
Received: 31 December 2018 / Revised: 27 May 2019 / Accepted: 6 June 2019 / Published: 1 July 2019
(This article belongs to the Special Issue New Perspectives in Actuarial Risk Management)
Solvency II requirements introduced new issues for actuarial risk management in non-life insurance, challenging the market to have a consciousness of its own risk profile, and also investigating the sensitivity of the solvency ratio depending on the insurance risks and technical results on either a short-term and medium-term perspective. For this aim, in the present paper, a partial internal model for premium risk is developed for three multi-line non-life insurers, and the impact of some different business mixes is analyzed. Furthermore, the risk-mitigation and profitability impact of reinsurance in the premium risk model are introduced, and a global framework for a feasible application of this model consistent with a medium-term analysis is provided. Numerical results are also figured out with evidence of various effects for several portfolios and reinsurance arrangements, pointing out the main reasons for these differences. View Full-Text
Keywords: multi-year solvency analysis; collective risk model; reinsurance; premium risk multi-year solvency analysis; collective risk model; reinsurance; premium risk
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Pallaria, A.; Savelli, N. Premium Risk Net of Reinsurance: From Short-Term to Medium-Term Assessment. Risks 2019, 7, 72.

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