TITLE:
Hybrid Decision Models in Non-Proportional Reinsurance
AUTHORS:
Maik Wagner
KEYWORDS:
Insurance; Optimization; Risk; Decision Analysis
JOURNAL NAME:
Technology and Investment,
Vol.1 No.1,
March
1,
2010
ABSTRACT: Over the past years, risk measurement and therewith risk measures became more and more important in economics. While in the past risk measures were already adopted at the deposit of credit and shareholders equity, the approach now generates two hybrid decision models and applies them to the reinsurance business. The two introduced models implement a convex combination of risk measures and with it provide the possibility of modelling risk attitudes. By doing that, for the two hybrid decision models on the one hand can be shown, which risk attitude leads to the acceptance of a reinsurance contract and on the other hand, a deductible of which height an insurer is willing to undertake. Hence the possibility exists to identify the risk attitude of an insurer. In return, due to the knowledge of risk attitudes, under similar conditions the possibility arises to establish recommendations about the extent of the deductible at reinsurance contracts.