401-3928-00L  Reinsurance Analytics

SemesterAutumn Semester 2017
LecturersP. Antal, P. Arbenz
Periodicityyearly course
Language of instructionEnglish


AbstractHistory 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.
ObjectiveUnderstand 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)
ContentHistory 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 notesSlides, lecture notes, and references to literature will be made available.