Reinsurance and Alternative Risk Transfers

Teacher(s)

Walhin Jean-François;

Language

English

Prerequisites

Knowledge in English, level of course LANGL1330.

Knowledge of the concepts at the level of the courses:

• Actuariat des assurances dommages (LACTU2010)
• Actuariat de l'assurance-vie (LACTU2030)
• Quantitative Risk Management (LACTU2210)
• Actuariat des assurances de personnes (LACTU2230)

The prerequisite(s) for this Teaching Unit (Unité d’enseignement – UE) for the programmes/courses that offer this Teaching Unit are specified at the end of this sheet.

Main themes

The reinsurance market is presented. The different kinds of treaties are described. The pricing of excess loss reinsurance is deeply analysed. The reasons why an insurance company has to be reinsured are explained; finally the point of view of the insurer is adopted in terms of optimality of reinsurance arrangements.

Aims

At the end of this learning unit, the student is able to :
1	Contribution of the course to learning outcomes in the Master in Actuarial Sciences programme. By the end of this activity, students will have made progress in: As a priority, the following LO : 1.1, 1.2, 1.3, 1.4, 2.1 In a secondary way the following LO : 1.6, 1.7, 1.8, 2.3, 2.4, 2.5 At the end of this course, students will be able to: Analyze the quality of conventional reinsurance contract Criticize the price as well as the analyzes relating to the optimality of the reinsurance structure

Content

Content The following topics will be developed: Introduction Why a reinsurance Proportional reinsurance Non proportional reinsurance Pricing of excess of loss treaties Capital allocation Optimal reinsurance Methods In-class activities X0 Lectures X0 Exercices/PT At home activities X0 Exercices to prepare the lecture X0 Paper work

Teaching methods

Due to the COVID-19 crisis, the information in this section is particularly likely to change.

Ex-cathedra course.
Some parts of the course might be covered through scientific papers / book chapters to be read / prepared by the students and followed by a Q&A session

Evaluation methods

Due to the COVID-19 crisis, the information in this section is particularly likely to change.

Written exam with no documents IF the exam is allowed in a classroom.
Oral exam through Teams IF the exam is not allowed in a classroom.
A homework (not more than 3 pages) will be submitted to the students and will be used for the evaluation of the exam. For the September exam, another homework will be submitted and will be used for the evaluation of the exam.

Bibliography

Transparencies are mainly based on :

• Walhin J.F. (2012). La Réassurance, 2ème édition. Larcier.
• Bauwens, V., Walhin, J.F. (2008). La Titrisation du Risque d'Assurance. Larcier.

Faculty or entity

LSBA