보유리스크비율을 이용한 보유한도의 결정
Volatility Curve and Optimal Retention
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초록
재보험계약의 보유한도에 대한 기존 연구들은 집단위험모형(Collective risk model) 또는 개별위험모형(Individual risk model)에 기반을 두고 있다. 기존 연구들과는 달리 Exposure curve와 출재사의 보유리스크수준을 측정하기 위하여 본 연구에서 새로이 제시한 보유리스크비율(Volatility curve)을 이용하여 초과손해액재보험계약의 최적보유한도를 결정하는 방법을 유도하고 Swiss Re의 Exposure curve에 적용하여 분석한 결과를 논의한다.
Abstract
Exposure curves are very useful tools in pricing reinsurance, but do not give actuaries information on optimal retention because exposure curves are expressed in terms of expected losses without volatility information. In this paper we propose volatility curves defined as the ratios of risk with limited loss and risk of the corresponding ground-up loss. Next, this paper discusses objective functions based on the exposure curve and the volatility curve. Then optimal retention equation can be derived in maximizing the objective function. Finally, this paper applies the optimal retention equation to Swiss Re exposure curves and suggests numerical examples.
참고문헌 (16)
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