Optimization of Surplus Reinsurance Treaty using the Conditional Tail Expectation

Abderrahim El Attar, Mostafa El Hachloufi, Guennoun Zine El Abidine

Abstract


In this work, we propose a new optimization strategy for reinsurance using the genetic algorithms. This approach is to determine an optimal structure of a "surplus" reinsurance contract by finding the optimal cession rates through an optimization model which is based on the minimization of the Conditional Tail Expectation (CTE) risk measure under the constraint of technical benefit. This approach can be seen as a decision support tool that can be used by managers to minimize the actuarial risk and maximize the technical benefit in the insurance company.


Keywords


Reinsurance; Technical benefit; Pricing mode; Cession rate; Genetic algorithms; Conditional Tail Expectation

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DOI: http://dx.doi.org/10.18187/pjsor.v14i1.1973

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Title

Optimization of Surplus Reinsurance Treaty using the Conditional Tail Expectation

Keywords

Reinsurance; Technical benefit; Pricing mode; Cession rate; Genetic algorithms; Conditional Tail Expectation

Description

In this work, we propose a new optimization strategy for reinsurance using the genetic algorithms. This approach is to determine an optimal structure of a "surplus" reinsurance contract by finding the optimal cession rates through an optimization model which is based on the minimization of the Conditional Tail Expectation (CTE) risk measure under the constraint of technical benefit. This approach can be seen as a decision support tool that can be used by managers to minimize the actuarial risk and maximize the technical benefit in the insurance company.


Date

2018-03-09

Identifier


Source

Pakistan Journal of Statistics and Operation Research; Vol. 14 No. 1, 2018



Print ISSN: 1816-2711 | Electronic ISSN: 2220-5810