KTH Matematik  

Matematisk Statistik

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)

Abstract 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.

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Sidansvarig: Filip Lindskog
Uppdaterad: 31/01-2013