401-3928-00L  Reinsurance Analytics

Semester Autumn Semester 2017
Lecturers P. Antal, P. Arbenz
Periodicity yearly course
Language of instruction English


Abstract History of reinsurance and catastrophic events. Forms of reinsurance. Modelling of reinsurance losses through frequency severity models. Rating/Pricing of reinsurance contracts. Modelling of natural catastrophes. Reinsurance markets and companies. Risk profile and solvency implications of reinsurance. Solvency 2 modelling. Alternatives to reinsurance such as Cat Bonds.
Objective Understand the following aspects: History of reinsurance. Role of reinsurance in society and history of catastrophic events. Forms of reinsurance (proportional and nonproportional). Covered types of business (property, casualty, specialties, life, health). Modelling of reinsurance losses through frequency severity models (typical distributions and parameters). Rating/Pricing of reinsurance contracts (experience and exposure). Modelling of natural catastrophes (methodological approaches and techniques). Natural catastrophes in Switzerland (importance, insurance, reinsurance). Reinsurance markets and companies. Risk profile implications of reinsurance (Catastrophe risk, reserving risk, Credit risk, basis risk, etc). Solvency implications of reinsurance (primary insurance and reinsurance side). Solvency 2 modelling (standard models, internal models, FINMA StandRe). Alternatives to reinsurance (insurance linked securities, subordinate debt). Trigger types of cat bonds (indemnity, modeled loss, industry loss, parametric)
Content History of reinsurance. Role of reinsurance in society and history of catastrophic events. Forms of reinsurance (proportional and nonproportional). Covered types of business (property, casualty, specialties, life, health). Modelling of reinsurance losses through frequency severity models (typical distributions and parameters). Rating/Pricing of reinsurance contracts (experience and exposure). Modelling of natural catastrophes (methodological approaches and techniques). Natural catastrophes in Switzerland (importance, insurance, reinsurance). Reinsurance markets and companies. Risk profile implications of reinsurance (Catastrophe risk, reserving risk, Credit risk, basis risk, etc). Solvency implications of reinsurance (primary insurance and reinsurance side). Solvency 2 modelling (standard models, internal models, FINMA StandRe). Alternatives to reinsurance (insurance linked securities, subordinate debt). Trigger types of cat bonds (indemnity, modeled loss, industry loss, parametric)
Lecture notes Slides, lecture notes, and references to literature will be made available.