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#1




Constructing an optimised reinsurance strategy (multiline insurer)
An interesting modelling problem has crossed my desk.
A midsized P&C insurer needs some modelling help constructing an optimal reinsurance strategy based on combination of quota share and XoL for various different lines (nothing exotic  mostly property and medical). They are looking at large loss modelling essentially, and I am curious if this is something someone esle has done before here. I can construct the model, but would like to do some additional readings on how to optimise the attachment points for XoL, assuming various layers are being used, with the possibility of various resinsurers participating. There are also additional riskbased knock on effects, as any impact on the reinsurance strategy, will impact the recoveries, which would then flow to credit risk, and risk margin for Solvency II (I know that for US Actuaries this is probably meaningless, but just added it in for completeness)
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#2




nice humblebrag about having a desk
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#3




My gut feeling is that this type of work is being done, especially at brokers. My advice is to just do exactly what you said you were going to do and look at the distribution of your target variable as a function of the attachment point, etc. Look at various combinations of 2D plots and 3D plots.
Readings may give you some guidance, but just do it  you ought to have the background to do some exploration here, independently.
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#4




Some good basic ideas here:
https://www.casact.org/pubs/forum/01sforum/01sf179.pdf http://www.garyventer.com/wpcontent...einsurance.pdf ...and references for more reading. 
#5




large broker firm would have analytics team to assist with this for sure.

#7




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The general idea is to use a collective risk model to calculate the amount of capital the company needs with, and without the reinsurance. Then compare the cost of capital without reinsurance, with the cost of capital with the reinsurance plus the margin charged by the reinsurer. One complication is that you need to address how long you need to hold capital for longtailed lines. I have an upcoming Variance paper on that addresses the problem from the Solvency II perspective. It does not address the reinsurance problem. It should be out any day now. The presentation linked below should give one a feel for the problem for reinsurance The general result that jumped out of a number of analyses that I did back then was that for all but the fairly small insurers, one should not buy reinsurance for liability lines of insurance. But one should buy reinsurance for catastrophes. My caveat is that cost of capital is your sole consideration for buying reinsurance. https://www.casact.org/education/ind...&submit=Search 
#9




Yeah, I made a lot of presentations that year. The one you referenced was the 4th one down. Look at the 2nd one above that on the same page that the link takes you to.

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