Monte Carlo Study of Reinsurance Contracts

• Main Author: Schyberg, Oskar
• Format: Others
• Language: English
• Published: Mälardalens högskola, Akademin för utbildning, kultur och kommunikation 2013
• Online Access: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-18374; http://nbn-resolving.de/urn:isbn:978-91-7485-104-5

This thesis is based on three articles concerning to experimental softwarefor evaluation of reinsurance contracts. In paper A we describe and usethe reinsurance analyser (ReAn), an open-source software for analysis ofreinsurance contacts. Moreover, we discuss experimental results, especiallythe risk comparison of excess-of-loss and largest claims reinsurance treaties.In paper B we expand the software including a new excess-of-loss treaty withupper limit. We perform experimental studies comparing extreme value andexcess-of-loss reinsurance treaties. In paper C, we perform a more in depthpresentation of the software. We introduce new treaties as combinations ofstandard treaties. Experimental comparisons are made between these treatiesand other extreme value treaties.