신지급여력제도에서의 재보험수수료를 고려한 비례재보험의 리스크 이전효과 측정방안

Abstract

This paper discusses on how nominal reinsurance retention ratio can deviate from the actual risks taken by insurers when the reinsurance commissions are linked to the loss ratio, and suggests an approach to measure effective risk transfer of proportional reinsurance contract by incorporating risk feedback effect of reinsuance commissions. In order to measure effective risk retention ratio, four risk measures are proposed and tested, MAD (mean absolute deviation), SD (standard deviation), LSAD (lower-semi-absolute deviation), and SSD (standard semi-deviation). Applying probability distribution discretization method to the real cases of reinsurance contracts with reinsurance commissions, this paper demonstrates that the proposed approach can effectively measure risk transfer by capturing risk feedback characteristics of loss-ratio-linked reinsurance commissions. Monte-Carlo simulation also shows the same results, which confirm that the proposed approach is robust. The proposed approach can be applied to the new solvency requirement standard in order to measure nonlife premium risk capital charge of proportional reinsurance more precisely, so that financial soundness of non-life insurers can be assessed more accurately.