Reinsurance

The reinsurance calculations generates estimates of retention and cession under the different reinsurance treaties. The following output files are produced:

1. Reinsurance by event: aggregated estimated per event for the claim, retention, cession and overspills under each reinsurance treaty.

   event_id	retention	claim	treaty_1	treaty_2	xlr1	overspill_treaty_2	year
   0	738.429	1833.73	142.206	400.000	553.096	180.819	1
   1	319.755	701.219	51.7092	179.292	150.463	0.00000	1
   2	1226.97	3210.91	282.622	400.000	1301.32	474.357	1
   3	1318.88	3600.81	294.502	400.000	1587.42	629.187	1

2. Reinsurance curves: reinsurance loss exceedance curves describe the probabilities of exceeding a set of loss ratios or loss values, within a given time span (or investigation interval). The curves are generated for the claim, retention, cession and overspills under each reinsurance treaty.

   rlz_id	return_period	retention	claim	treaty_1	treaty_2	xlr1	overspill_treaty_2
   0	50.0000	319.755	701.219	51.7092	179.292	150.463	0.00000
   0	100.000	1226.97	3210.91	282.622	400.000	1301.32	474.357
   0	200.000	1318.88	3600.81	294.502	400.000	1587.42	629.187

3. Average reinsurance losses: the average reinsurance losses indicates the expected value within the time period specified by risk_investigation_time for the claim, retention, and cessions under each reinsurance treaty for all policies in the Exposure Model.

   rlz_id	retention	claim	treaty_1	treaty_2	xlr1	overspill_treaty_2
   0	1.80202E+01	4.67333E+01	3.85520E+00	6.89646E+00	1.79615E+01	6.42181E+00

4. Aggregated reinsurance by policy: the average reinsurance losses for each policy, by ignoring the overspill logic.

   rlz_id	policy_id	retention	claim	treaty_1	treaty_2	xlr1
   0	p1_a1	4.61304	19.0934	1.90934	3.81867	8.75232
   0	p1_a2	3.01643	6.48621	1.94586	0.648621	0.875298
   0	p1_a3	38.9468	1.29823	0.00000	0.908759	0.00000
   0	p2	3.57945	19.8555	0.00000	7.94221	8.33388

The parameters indicated in the previous outputs include:

• policy: identifier of the unique policies indicated in the exposure model and policy files.

• claim: ground up losses minus the deductible and up to the policy liability.

• retention: net losses that the insurance company keeps for its own account.

• cession_i: net losses that are ceded by the insurance company to the reinsurer(s) under treaty i. The cession is indicated by the treaty name defined in the reinsurance information.

• overspill_treaty_i: net losses that exceed the maximum cession per event (“max_cession_event”) for proportional and/or catxl treaties.

NOTE: The sum of the claim is not equal to the ground up losses, since usually the deductible is nonzero. Moreover there could be “non-insured” losses corresponding to policies with no insurance contracts or that exceed the policy liability.