Optimal reinsurance and investment problem in a defaultable market

This article investigates the optimal reinsurance and investment problem involving a defaultable security. The insurer can purchase reinsurance and allocate his wealth among three financial securities: a money account, a stock, and a defaultable corporate bond. The objective of the insurer is to maximize the expected exponential utility of terminal wealth. Using techniques of stochastic control theory, we derive the corresponding Hamilton–Jacobi–Bellman equation and decompose the original optimization problem into a predefault case and a postdefault case. Explicit expressions for optimal strategies and the corresponding value functions are derived, and the verification theorem is given. Finally, we present numerical examples to illustrate our results.     

Simplex representation of insurance performance analysis

The general belief in the insurance industry is that underwriting is a loss-making segment but is essential as it generates cash flow. The underwriting losses are cross-subsidized by investment income resulting in overall profits. In this paper, we investigate if the same is true in the Indian context. For this Simplex representation, (also known as trilinear plot or Saari Triangle) a tool in the field of political science, is adapted. Simplex representation can give an instant understanding of the relative performance of a company in any segment/domain. The study reveals that, contrary to expectation, it is reinsurance that has contributed more to overall aggregate performance as against investment.     

构建和谐社会下的巨灾保险体系

文章从分析我国巨灾保险的现状着手,借鉴国外巨灾保险的先进经验,提出建立巨灾保险准备金(全民)、投保人、保险公司、中国再保险公司和政府共同承担巨灾风险的巨灾保险体系的设想。     

再保险业务风险分布特征的实证分析

再保险人的整体风险管理能力、水平和行为将直接影响再保险公司的整体风险管理绩效以及整个保险市场的稳定。本文使用极值理论模拟了再保险业务的风险分布特征,比较了成数再保险和非比例再保险业务风险分布的差异,认为再保险业务损失分布不服从正态分布,具有厚尾性;成数业务损失分布具有均值大、方差小的特点,而非比例业务损失分布的均值较小,但方差较大;在高置信水平条件下,非比例业务的风险损失率远远大于成数业务。因此,再保险公司应当大力发展非比例再保险业务,并增强资本实力,积极拓展业范围,在国际市场上分散风险。