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Allocation of Risk Capital to Contracts in Catastrophe Reinsurance
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Allokering av riskkapital mellan katastrofåterförsäkringskontrakt (Swedish)
Abstract [en]

This thesis is theresult of a project aimed at developing a tool for allocation of risk capitalin catastrophe excess-of-loss reinsurance. Allocation of risk capital is animportant tool for measuring portfolio performance and optimizing the capitalrequirement. Here, two allocation rules are described and analyzed, Eulerallocation and Capital layer allocation. The rules are applied to two differentportfolios. The main conclusions is that the two methods can be used togetherto get a better picture of how the dependence structure between the contractsaffect the portfolio result. It is also illustrated how the RORAC of one of theportfolios can be increased by 1 % using the outcome from the analyses.

Abstract [sv]

Den här uppsatsen är resultatet av ett projekt som syftat till att utveckla en mjukvara för allokering av riskkapital inom icke-proportionell katastrofåterförsäkring. Allokering av riskkapital är ett viktigt verktyg för att mäta hur väl portföljen presterar samt en grund för portföljoptimering. I den här uppsatsen undersöks två metoder för att allokera riskkapital, Euler-allokering och Capital layer allokering. Metoderna appliceras på två olika portföljer. Slutsatserna är att de två metoderna kan användas tillsammans för att ge en helhetsbild av beroendet mellan kontrakten centralt i fördelningsfunktionen samt ute i svansen. Det visas också hur portföljens RORAC kan höjas med 1 % genom att använda resultaten i uppsatsen.

Place, publisher, year, edition, pages
2013. , 70 p.
Series
Trita-MAT-E, 2013:48
Keyword [en]
Reinsurance, Allocation of risk capital, RORAC, Euler allocation, Capital layer allocation
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-129751OAI: oai:DiVA.org:kth-129751DiVA: diva2:668149
External cooperation
Länsförsäkringar AB
Subject / course
Mathematical Statistics
Educational program
Master of Science - Mathematics
Supervisors
Examiners
Available from: 2013-11-29 Created: 2013-10-04 Last updated: 2013-11-29Bibliographically approved

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CiteExportLink to record
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  • apa
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