Rückversicherung Versus Indemnity Type Insurance Linked Securities: Eine Arbitrageanalyse |
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Authors: | Dr Alexander König Dr Axel Brohm |
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Institution: | 13. Swiss Re Germany AG, Unterf?hring bei München, Deutschland 23. Schweizerische Rückversicherungs-Gesellschaft, Zürich, Deutschland
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Abstract: | This paper compares insurance linked securities and traditional reinsurance on a structured technical level. Goal is to mathematically capture and compare both risk transfer mechanisms on a conceptual basis. Starting with the basic P&L position of a non-life insurance company, the alternative coverage structures are developed and formally captured with increasing degrees of complexity. While the focus rests on pure insurance risk, additional pricing relevant cost and risk aspects are addressed as well. |
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