Prague Economic Papers 2019, 28(2):129-154 | DOI: 10.18267/j.pep.683

Exposure Modelling in Property Reinsurance

Jan Hrevuš1, Luboš Marek2
1 VIG Re zajistovna, a.s., Czech Republic (hrevus@volny.cz)
2 Faculty of Informatic and Statistic, University of Economics in Prague, Prague, Czech Republic (marek@vse.cz)

Exposure curves play significant role in modelling of property per risk excess of loss non-proportional reinsurance contracts, especially in the situations when not enough historical data is available for applying experience-based methods or if the underlying exposure changed significantly. The paper deals only with the first loss scale (FLS) approach which is frequently used in Europe. An alternative approach is based on ISO´s PSOLD methodology which is typical for the U.S. The first research into FLS approach was done by Ruth E. Salzmann in 1963 and some further curves have been developed since that time, however, their availability is limited. According to the authors´ knowledge only limited number of articles were published on this topic and no comprehensive publication which would describe the methodology to a larger extent exists. The paper provides a comprehensive description of the FLS exposure rating methodology, aims to summarise both historical and latest developments in this area and also includes various authors´ own practical considerations. The theory is illustrated on numerical examples.

Klíčová slova: reinsurance, exposure, property, non-proportional, excess of loss
JEL classification: C15, C58, G22

Přijato: 23. duben 2018; Zveřejněno: 1. duben 2019  Zobrazit citaci

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Hrevuš, J., & Marek, L. (2019). Exposure Modelling in Property Reinsurance. Prague Economic Papers, 28(2), 129-154. doi: 10.18267/j.pep.683
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    Reference

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