Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events
This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalization of common reinsurance methodologies providing a...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-02-01
|
| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/11/3/50 |
| _version_ | 1797609134451851264 |
|---|---|
| author | Elroi Hadad Tomer Shushi Rami Yosef |
| author_facet | Elroi Hadad Tomer Shushi Rami Yosef |
| author_sort | Elroi Hadad |
| collection | DOAJ |
| description | This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalization of common reinsurance methodologies providing a conservative framework that deals with the fundamental question of how much money should a government hold to prepare for natural or human-made extreme risk events that the government will cover? Although the ruin theory is commonly used for extreme risk events, we suggest a new risk measure to deal with such events in a new framework based on multivariate risk measures. We analyze the results for the log-elliptical model of dependent claims, which are commonly used in risk analysis, and illustrate our novel risk measure using a Monte Carlo simulation. |
| first_indexed | 2024-03-11T05:57:16Z |
| format | Article |
| id | doaj.art-6ad1ac035b9447ab9bcac6371a32e90e |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-03-11T05:57:16Z |
| publishDate | 2023-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-6ad1ac035b9447ab9bcac6371a32e90e2023-11-17T13:41:40ZengMDPI AGRisks2227-90912023-02-011135010.3390/risks11030050Measuring Systemic Governmental Reinsurance Risks of Extreme Risk EventsElroi Hadad0Tomer Shushi1Rami Yosef2Department of Industrial Engineering and Management, Sami Shamoon College of Engineering, 56 Bialik St., Beer Sheva 8410802, IsraelDepartment of Business Administration, Guilford Glazer Faculty of Business and Management, Ben-Gurion University of the Negev, Beer-Sheva 8410501, IsraelDepartment of Business Administration, Guilford Glazer Faculty of Business and Management, Ben-Gurion University of the Negev, Beer-Sheva 8410501, IsraelThis study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalization of common reinsurance methodologies providing a conservative framework that deals with the fundamental question of how much money should a government hold to prepare for natural or human-made extreme risk events that the government will cover? Although the ruin theory is commonly used for extreme risk events, we suggest a new risk measure to deal with such events in a new framework based on multivariate risk measures. We analyze the results for the log-elliptical model of dependent claims, which are commonly used in risk analysis, and illustrate our novel risk measure using a Monte Carlo simulation.https://www.mdpi.com/2227-9091/11/3/50loss retentionreinsurance policyreinsurance claimcatastrophic eventsrisk managementfinancial simulation |
| spellingShingle | Elroi Hadad Tomer Shushi Rami Yosef Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events Risks loss retention reinsurance policy reinsurance claim catastrophic events risk management financial simulation |
| title | Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events |
| title_full | Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events |
| title_fullStr | Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events |
| title_full_unstemmed | Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events |
| title_short | Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events |
| title_sort | measuring systemic governmental reinsurance risks of extreme risk events |
| topic | loss retention reinsurance policy reinsurance claim catastrophic events risk management financial simulation |
| url | https://www.mdpi.com/2227-9091/11/3/50 |
| work_keys_str_mv | AT elroihadad measuringsystemicgovernmentalreinsurancerisksofextremeriskevents AT tomershushi measuringsystemicgovernmentalreinsurancerisksofextremeriskevents AT ramiyosef measuringsystemicgovernmentalreinsurancerisksofextremeriskevents |