Pricing Double-Trigger Reinsurance Contracts: Financial Versus Actuarial Approach
Pricing Double-Trigger Reinsurance Contracts: Financial Versus Actuarial Approach
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DOI：
10.2139/ssrn.302697
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发表时间：
2002-03
期刊：
影响因子：
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通讯作者：
Hato Schmeiser;Helmut Gründl
中科院分区：
文献类型：
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作者：
Hato Schmeiser;Helmut Gründl
本文讨论了双触发再保险合同定价的各种方法，双触发再保险合同是“替代风险转移”领域出现的一种新型合同。这类合同的潜在承保范围取决于承保风险和财务风险。如果再保险人希望在签订合同后保持公司相同的安全水平，我们确定再保险人的保留价格，在这种情况下，合同通常必须有大量的权益资本支持（如果权益资本是要采取的风险管理措施）。本文将金融保险定价模型与以不降低再保险公司预期利润和不降低再保险公司安全水平为目标的精算定价模型进行了比较。我们表明，精算定价可能导致再保险公司陷入陷阱，导致无法完成净现值为正的再保险合同，因为典型的精算定价决定了必须采取的风险管理措施的类型，即额外资本的插入。此外，这种类型的定价结构迫使再保险买方作为债权人提供这种安全资本。最后，我们讨论了导致双触发再保险合同市场的条件。
This article discusses various approaches to pricing double-trigger reinsurance contracts - a new type of contract that has emerged in the area of "alternative risk transfer." The potential coverage from this type of contract depends on both underwriting and financial risk. We determine the reinsurer's reservation price if it wants to retain the firm's same safety level after signing the contract, in which case the contract typically must be backed by large amounts of equity capital (if equity capital is the risk management measure to be taken). We contrast the financial insurance pricing models with an actuarial pricing model that has as its objective no lessening of the reinsurance company's expected profits and no worsening of its safety level. We show that actuarial pricing can lead the reinsurer into a trap that results in the failure to close reinsurance contracts that would have a positive net present value because typical actuarial pricing dictates the type of risk management measure that must be taken, namely, the insertion of additional capital. Additionally, this type of pricing structure forces the reinsurance buyer to provide this safety capital as a debtholder. Finally, we discuss conditions leading to a market for double-trigger reinsurance contracts.