El reaseguro en el riesgo de mortalidad en Solvencia II

Abstract

The aim of this paper is to analyze the mitigating effect that, for an insurance company, the solvency capital requirement for the mortality risk of the life underwriting risk module has. In our model, the solvency capital required to the insurance company is computed through an internal model based in the Monte Carlo’s simulation method. That capital is obtained as the value in risk at 99,5% of the difference between the present value of assets minus the present value of liabilities corresponding to two consecutive years, where the reinsurance company policy is taken into account for its calculation. The forms of reinsurance considered in the analysis are the quota share, the surplus and the stop-loss. Finally, and for the case of the quota share, a sensitivity analysis of the required solvency capital of the company with respect to the ratio retention is carried out. Furthermore, and for the case of the surplus and stop-loss, a sensitivity analysis with respect to the priority is also made.