INNOVATION METHODS, ALGORITHMS, AND SOFTWARE FOR ANALYSIS OF REINSURANCE CONTRACTS1

DMITRII SILVESTROV, JOZEF TEUGELS, VIKTORIYA MASOL, AND ANATOLIY MALYARENKO

Theory of Stochastic Processes Vol. 12 (28), no. 3–4, 2006, pp. 203–238

A Monte Carlo based approach to evaluate and/or compare the riskiness of reinsurance treaties for both the ceding and the reinsurance companies is introduced. An experimental program system Reinsurance Analyser based on the indicated approach is presented. The program allows analyzing applications of a large set of reinsurance contracts under a variety of claim flow models. The effect of applications is compared by risk measures, provided that the parameters of the contracts are balanced by an average reinsurer’s load quantity.

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