This master thesis discusses the niche of reinsurance business -- catastrophe bonds. It provides a brief description of reinsurance in general, insurance-linked securities and catastrophe bonds. The goal of this thesis is to describe the development of cat bond market and the influence of economic and natural shocks on it. In order to analyze the effect, quarter issuance data are used together with Swiss Re Cat Bonds return indexes. In addition, several other variables (i.e. Munich Re and Swiss Re stock prices) and indexes are used. The most important indexes are Merrill Lynch high yield bonds and structured products. The shocks' influence is examined by analyzing the correlation between cat bonds yields and other financial instruments. The conclusion of the thesis is that during economic boom cat bonds are correlated with other instruments. In times of recession cat bonds' yields prove to be negatively or not correlated with other negatively affected instrument.

The diploma Selected problems of the reinsurance market and their solutions shows the development of the insurance and reinsurance markets in recent years, especially in the last two decades. The diploma deals with changes in the actual situation, describes the classic forms of risk transfers, introduces alternative instruments as possible solution. The diploma also describes the principle multi financing system, which can be an effective solution in the reinsurance market.

This thesis is theresult of a project aimed at developing a tool for allocation of risk capitalin catastrophe excess-of-loss reinsurance. Allocation of risk capital is animportant tool for measuring portfolio performance and optimizing the capitalrequirement. Here, two allocation rules are described and analyzed, Eulerallocation and Capital layer allocation. The rules are applied to two differentportfolios. The main conclusions is that the two methods can be used togetherto get a better picture of how the dependence structure between the contractsaffect the portfolio result. It is also illustrated how the RORAC of one of theportfolios can be increased by 1 % using the outcome from the analyses. / Den här uppsatsen är resultatet av ett projekt som syftat till att utveckla en mjukvara för allokering av riskkapital inom icke-proportionell katastrofåterförsäkring. Allokering av riskkapital är ett viktigt verktyg för att mäta hur väl portföljen presterar samt en grund för portföljoptimering. I den här uppsatsen undersöks två metoder för att allokera riskkapital, Euler-allokering och Capital layer allokering. Metoderna appliceras på två olika portföljer. Slutsatserna är att de två metoderna kan användas tillsammans för att ge en helhetsbild av beroendet mellan kontrakten centralt i fördelningsfunktionen samt ute i svansen. Det visas också hur portföljens RORAC kan höjas med 1 % genom att använda resultaten i uppsatsen.

This dissertation consists of two topics. Chapter 1 examines the relationship between contingent commission use and underwriting performance as well as underwriting risk using data from 2005 to 2016. Top brokers were banned from receiving contingent commissions following the inquiry in 2004 led by Eliot Spitzer, former New York Attorney-General. But the ban raised concerns about whether it created a level playing field across the industry, as smaller brokers continued taking them. In addition, despite the possible conflicts of interest, contingent commissions have also been recognized as a way to better align agent and insurer incentives. Regulators agreed to relax the terms for the leading brokers in 2010, resulting in a less onerous compliance regime for contingent commission use. It is important to study the effectiveness of contingent commission use on improving underwriting performance. This study finds strong evidence supporting the hypothesis that contingent commissions’ usage is associated with better underwriting performance as well as lower underwriting risk. This study also finds a curvilinear relationship between underwriting performance and the level of contingent commission use. Chapter 2 investigates the impact of executive overconfidence on capital structure decisions and reinsurance purchases using a sample of 37 publicly-traded property-liability insurance groups for the period 2002 to 2016. This study finds that insurance firms with overconfident executives have significantly higher leverage ratios than those without overconfident executives. This study also finds evidence that insurance firms with overconfident executives cede more reinsurance, and this evidence is stronger for insurers with more limited business capacity than those with ample business capacity. The results of this study also indicate that overconfident executives prefer internal reinsurance to external reinsurance. This research provides evidence that personality traits of executive impact capital structure decisions and reinsurance purchases for insurance firms, which should be of interest to policyholders and regulators. / Business Administration/Risk Management and Insurance

This dissertation consists of two topics. Chapter 1 explores the relationship between U.S. Property-Casualty (P/C) insurers’ underwriting risk, investment risk, and leverage risk, using data from 1998 to 2013. I test the trade-off hypothesis using a simultaneous equation model framework with partial adjustment effects. The three equations model intend to examine the interrelations between insurers’ leverage and two measures of firm risks: underwriting risk and investment risk. The empirical evidence, various to different sample periods and model specifications, suggests there is no significant relationship existing between insurers’ underwriting risk and investment risk. But these two types of risks are both significantly and negatively related to the leverage ratio. The overall results imply that insurers tend to tradeoff leverage risk and underwriting risk/investment risk, but it appears that they have not taken an integrated approach between the total level of underwriting risk and investment risk yet. The second part of this dissertation empirically investigates the impact of credit risk on insurers’ reinsurance demand, using data on the U.S. P/C insurance industry from 2000 to 2014. I mainly explore how insurers’ credit rating status and downgrade risk affects their reinsurance demand. Using a two-stage least square (2SLS) regression model, I find that low-rated insurers are associated with a higher utilization of reinsurance. In addition, insurers that are downgraded in the previous year tend to have a higher reinsurance demand than the others. Results also show that downgraded group-affiliated insurers tend to significantly increase their internal reinsurance demand from the group-affiliated members while decreasing the purchase of external reinsurance significantly. In general, I find that insurers’ reinsurance demand is affected by their credit rating and downgrade risk. / Business Administration/Risk Management and Insurance

決定自留額是保險人承接業務時之主要考量因素，以發揮保險之基本原理原則：危險分散與損失分攤。自留額釐定不當，不僅影響保險人財務結構，甚至波及公司整體核保營運成果而危及清償能力。本文選擇某產險公司實際損失分配資料，探討不同自留比例與再保方式對營運結果之影響，結果顯示在此實際損失分配資料模型下，適度調高自留比例，應可增加核保利潤。本文進一步以相關性分析探討自留配置。 / Retention is a key element for the insurer to determine how much it wishes to retain for its own account for the risks it has written. This point is fundamental to carrying on the business of insurance and akin to the principle upon which insurance is based, namely the spreading of risks and sharing of losses. The risk of incurring a retained loss owning to inadequate retention, which would imperil financial objective even can affect the overall underwriting results and arise insolvency. This paper select data base of occurred loss distribution for the past three years to study the impact of different retained ratio and different type of reinsurance for performance. This paper shows that, the underwriting profit can be expected to increase when the retention increases precisely under the existing loss distribution model . This paper also discuss the related factors in deciding retention by correlation analysis.

財務再保險在再保險市場中是一個新的名詞，國內保險業都不甚瞭解；但在國外，財務再保險的市場卻有增加的趨勢。本文以研究「人壽保險公司」為對象，首先對「財務再保險」加以定義，並介紹其種類、功能等。接著探討財務再保險與其它金融商品的比較；同時，我們將以本國人壽保險公司為樣本，分析其財務報表，找出較需要資本的公司來做模擬，探討其實施財務再保險後財務報表變化的情形。最後，總結全文，提出結論，並對本文所得結果做出一些建議，以作為我國實施財務再保險之參考。 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究限制與研究架構 2 第二章 財務再保險之介紹 5 第一節 發展背景 5 第二節 財務再保險的意義 9 第三節 財務再保險的種類 11 第四節 財務再保險的功能 25 第五節 相關問題探討 31 第三章 財務再保險與其它金融工具之比較 38 第一節 與傳統再保險之比較 38 第二節 與其它融資策略之比較 41 第三節 與衍生性金融商品之比較 50 第四章 財務再保險模擬在我國壽險公司之結果 55 第一節 壽險資本適足性之理論基礎 55 第二節 財務再保險之假設 60 第三節 模擬財務再保險之結果 62 第四節 小結 65 第五章 結論與建議 69 第一節 結論 69 第二節 建議 71 第三節 後續研究的建議 72 附 錄(一) YRT財務再保險與傳統再保險之比較 75 附 錄(二) 共同保險與修正制共同保險財務再保後之結果 78 附 錄(三) 發行公司債之作業流程 88 附 錄(四) 公開發行與申請上市 91 附 錄(五) 依保險法規定應增加資本額度試算表 93 附 錄(六) 台灣壽險業風險基礎資本比試算表 95 附 錄(七) 財務再保險可釋放之盈餘 96 附 錄(八) 依我國監理制度財務再保險後之變化表 98 附 錄(九) 依美國RBC監理制度財務再保險後之變化表 99 附 錄(十) 財務再保險合約範例 102 參考文獻 115 / Financial reinsurance is an innovative alternative to so-called traditional forms of reinsurance, and its recent popularity has led to a significant rise in premiums devoted to this category. It is a practical risk management tool, especially useful when the motivations of the reinsured insurance company are centered not only on cost effectively managing underwriting risk but also on explicitly recognizing and addressing other financially oriented risks such as credit, investment and timing risks. We would like to perform a study on the innovative alternative and to try to apply it to life insurance company in Taiwan. Reinsurance is a versatile tool for financial planning. Financial reinsurance is an innovative one in the categories of reinsurance. Unlike the traditional form of reinsurance, financial reinsurance is structured to provide the desired financial objective while the risk transfer element is very carefully controlled. The transaction is not to make a loan from a reinsurer, but it provides a useful tool to improve the ceding company's current statutory earnings and surplus position. Recently, some of new domestic life insurers are facing surplus strains. Most of them have to raise capitals over billions of NT dollars to meet the required regulations setup by MOF. Instead of raising capital, financial reinsurance is demonstrated later in this paper to accomplish the "surplus relief" objective. In this hypothetical example, we conclude that the other things being equal, the more policy reserves a company bears, the greater performance a financial reinsurance achieves. The insurance industry has limited capital and must use it efficiently in order to provide adequately for the insurance needs of the public. Financial reinsurance is maturing in the developed countries. We believe that the accounting treatment prescribed by the authorities is reasonably developed and consistently applied, the attractiveness of financial reinsurance products is in sight.

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No. of bitstreams: 1 61080200031.pdf: 2747428 bytes, checksum: acbf6ea654f83010e72bf9e447001d2e (MD5) Previous issue date: 2011-02-01 / In order to verify the relationship between models of development predominantly adopted, Constitutional Economic Law and regulation of reinsurance activity in Brazil, the present work studies the changes perpetrated on the use of claims handling clauses in reinsurance contracts in specific moments of Brazilian history, when intense reforms caused important changes in the models of regulation and development in this country: the Vargas era, the Castelo Branco presidency and the Fernando Henrique Cardoso presidency. To carry out this task, the present study, first and foremost, examines the reasons that led to the monopolization and the insulation of the national reinsurance sector along with the creation of Brazilian Reinsurance Institute (BRI) in 1939 and establishes its relationship with the model of development implanted after the 1930 Revolution, the transition from liberal to social Law and the Economic Law confined in the 1934 and 1937 Constitutions. Hereinafter, these facts are weighed against the rules that started to regulate the contracts signed between the BRI and the national insurance companies, specifically those that refer to claims handling. Next, the evolution of the reinsurance market regulation, the creation of the Private Insurance National System and the monopoly of the BRI over this activity are analyzed against its interaction with the models of development that guided the role played by the Brazilian State in the following decades and the Economic Law introduced into the 1946, 1967 and the 1988 Constitutions. After, the uses of claims handling clauses in the reinsurance contracts signed by the BRI under the ruling of the Decree number 73/66 are analyzed through the examination of the Retrocession and Reinsurance General Norms (RRGN) and the Retrocession and Reinsurance Specific Norms (RRSN), both enacted by the BRI. In the first chapter of its second part, this work verifies the relation between the neo-liberalism of the 1980’s and 1990’s, the social solidarity constitutional directive and the good-faith principle in order to comprehend how the changes in the constitutional text made in the 1990’s and the 2000’s altered the negotiation of reinsurance contracts in Brazil. This is aimed at clarifying the correlation between the de-monopolization and the opening of the Brazilian reinsurance activity, the current Constitutional Economic Law and the announced change in the development strategy implemented by the Brazilian government. In order to understand how private corporations started behaving in the recently opened market, the preset dissertation investigates the use of claims handling clauses in reinsurance contracts through the analysis of collected answers to given questionnaires, Brazilian and foreign doctrine on the matter and reinsurance standard contracts in use nowadays. In this same chapter, the possible changes on the comprehension of the international character of the reinsurance activity will also be examined in order to determine the current importance of the international customs as a hermeneutic model and an evidence of a general practice accepted as law. Finally, this work studies the rules proposed by the Bill nº 2.555/2004 and its Substitutes about the use of claims handling clauses in reinsurance contracts. At this moment, some alternative writings of the articles examined are suggested, in addition to some points to be considered in order to define the amplitude of the freedom to contract those clauses granted to the parties. / Para verificar a relação entre modelos de desenvolvimento predominantemente adotados, Direito Econômico Constitucional e regulamentação da atividade ressecuritária no Brasil, o presente trabalho analisa as alterações acarretadas ao uso de cláusulas de regulação de sinistro em contratos de resseguro em determinados momentos da história brasileira, quando intensas reformas promoveram importantes mudanças nos modelos de regulamentação e de desenvolvimento do país: a Era Vargas, a gestão de Castelo Branco, e o Governo de Fernando Henrique Cardoso. Para isto, o presente estudo primeiramente avalia as razões que levaram à monopolização e ao insulamento do setor de resseguros nacional com a criação do Instituto de Resseguros do Brasil (IRB) em 1939 e estabelece a sua relação com o modelo de desenvolvimento implantado a partir da Revolução de 1930, a transição do Direito liberal ao social e as normas de Direito Econômico contidas nas Constituições de 1934 e 1937. Disto posto, estes fatos são correlacionados com as normas que passaram a reger os contratos firmados entre o IRB e as companhias seguradoras nacionais, especificamente aquelas referentes às regulação de sinistros. Em seguida, a evolução da regulamentação do mercado ressecuritário, a criação do Sistema Nacional de Seguros Privados e o monopólio do IRB sobre esta atividade são analisados a partir de sua interação com os modelos de desenvolvimento que nortearam a atuação estatal nas décadas seguintes e o Direito Econômico consagrado nas Constituições de 1946, 1967 e 1988. Após, são estudados os usos das cláusulas de regulação de sinistro nos contratos de resseguro firmados pelo órgão monopolista sob a vigência do Decreto-Lei no 73/66 a partir do exame das Normas Gerais de Resseguro e Retrocessão (NGRR) e de algumas Normas Específicas de Resseguro e Retrocessão (NERR), ambas editadas pelo IRB. No primeiro capítulo de sua segunda parte, este trabalho averigua a relação entre o neoliberalismo das décadas de 1980 e 1990, a diretriz constitucional da solidariedade social e o princípio da boa-fé para compreender como as alterações no texto constitucional perpetradas nas décadas de 1990 e 2000 modificaram a contratação de resseguro no país. Com isto, é esclarecida a correlação entre a desmonopolização e a abertura da atividade ressecuritária brasileira, o Direito Econômico Constitucional atualmente em vigor e a apontada mudança da estratégia de desenvolvimento implantada pelo Estado brasileiro. Para entender como passaram a atuar os agentes privados, o presente estudo investiga a utilização das cláusulas de regulação de sinistro por meio da análise das respostas aos questionários de pesquisa distribuídos, da doutrina nacional e estrangeira e de modelos contratuais hodiernamente utilizados. Ainda neste capítulo, são investigadas possíveis mudanças sobre a compreensão do caráter internacional da atividade resseguradora para determinar a atual importância do recurso aos usos e costumes internacionais como modelos hermenêuticos e jurídicos. Por fim, o presente estudo analisa as regras propostas pelo Projeto de Lei n° 3.555/2004 e seus Substitutivos sobre o uso de cláusulas de regulação de sinistros em contratos de resseguro. Neste momento, são sugeridas outras possíveis redações aos dispositivos examinados, além de alguns pontos a serem considerados para a definição da amplitude da liberdade das partes de contratar tais cláusulas.

Les nouvelles normes prudentielles Solvabilité II se penchent sur question du contrôle de la solvabilité des acteurs de marché d’assurance et de réassurance. Nous nous sommes proposé dans cette thèse de présenter les moyens techniques permettant la recherche des besoins de couverture de la solvabilité des assureurs se traduisant par la mise en œuvre d’une probabilité de ruine à moins de 0,5%, dans le cadre des modèles internes. La première partie, en mettant l’accent sur le problème de valorisation économique des passifs d’assurance vie lié aux options incluses dans les contrats d’assurance et donc d’obtention de la distribution de la situation nette à un 1 an et donc de son quantile d’ordre 0.5%, présentera les différentes approches de modélisation permettant de contourner ces problèmes :– Approche des simulations dans les simulations purement simulatoire et trop coûteuse en temps de calcul,– Algorithme d’accélération des simulations dans les simulations pour contourner les limites de la première approche,– Approche par portefeuille répliquant– Approche par fonction de perteDans une deuxième partie, l’accent sera mis sur la modélisation des risques techniques mal appréhendés par les assureurs en développant deux approches stochastiques pour modéliser, dans le cadre d’un modèle interne, les risques de longévité, de mortalité et aussi le risque dépendance. La troisième partie intéressera à l’optimisation du capital économique en mettant en œuvre la réassurance comme outil de gain en capital économique en proposant des approches de choix optimal en réassurance / The new prudential standards, Solvency II, consider the question of controling of insurer and reinsurer’s solvency. In this thesis, we’ve proposed technical solution for solvency capital assessment to keep ruin’s probability under the target of 0.5% aimed by the Solvency II project in internal model prospect. The First part will discuss the problem of economic valorization of life insurance liabilities and will present di_erent modeling approaches to determine the net assets value distribution and assess the 0.5% percentile that can solve it :– Nested simulation approach which is too much time consumer,– Nested simulation accelerator,– Replication portfolio approach,– Loss function approach.In the second part, we will focus on biometric risks modeling. Two stochastic modeling approaches was developped in order to model mortality & longevity and morbidity risks. The third part will focuss on capital optimization using reinsurance as a tool of capital reduction

Le paiement des frais hospitaliers par les patients est une raisons majeures de pauvreté en Chine, notamment en milieu rural en Chine. Afin d’améliorer l’efficacité et l’égalité de financement des soins de santé en milieu rural en Chine ; on va faire une étude de faisabilité concernant la mise en place de la micro-assurance sociale ainsi que la réassurance en milieu rural en Chine.Cette thèse est composée de quatre parties. La première partie est la recherche de la problématique et le justificatif de l’étude. La deuxième partie est consacrée à la présentation générale de la situation sanitaire en Chine, y compris l’assurance maladie en Chine, que ce soit en milieu rural ou en milieu urbain. Dans la troisième partie, une étude des conditions d’application de la micro-assurance médicale en milieu rural a été faite. Enfin, on va envisager un système de réassurance sociale pour la micro-assurance qui pourrait être créée.Selon les cotisations calculées et la disposition à payer moyenne, on peut dire que la mise en place de la micro-assurance en milieu rural serait faisable. / The payment of hospital fees by patients is a major reason for poverty in China, especially in rural China. To improve the effectiveness and equity of healthcare financing in rural China, we’ll make a feasibility study for the establishment of micro-insurance and reinsurance in rural China. This thesis is composed of four parts. The first part researches the problematic and the justification of this study. The second part is to present the general health situation in China, including health insurance in China, whether rural or urban. In the third part, a study on the application conditions of micro-health insurance in rural areas has been made. Finally, we will consider a system of social reinsurance for micro-insurance that could be created. According to the contribution calculated and the average willingness to pay, we can say that the establishment of micro-insurance in rural areas would be feasible.