Tid: 28 november 2013 kl 15.15-16.00.Seminarierummet 3424, Institutionen för matematik, KTH, Lindstedts väg 25, plan 4.
Föredragshållare: Rasmus HansÚn
Titel: Allocation of Risk Capital to Contracts in Catastrophe Reinsurance (Examensarbete - Master thesis)
This thesis is the result of a project aimed at developing a tool for allocation
of risk capital in catastrophe excess-of-loss reinsurance. Allocation of risk
capital is an important tool for measuring portfolio performance and optimizing the capital requirement. Here, two allocation rules are described and
analyzed, Euler allocation and Capital layer allocation. The rules are applied
to two different portfolios. The main conclusions is that the two methods
can be used together to get a better picture of how the dependence structure
between the contracts affect the portfolio result. It is also illustrated how the
RORAC of one of the portfolios can be increased by 1 % using the outcome
from the portfolios.
|Sidansvarig: Filip Lindskog