A new life reinsurance product
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The purpose of this paper is to build a new product for life reinsurance. The underlying idea is to offer a global and optimal cover to a life portfolio on a one-year horizon. Therefore, the first section of this paper explains what is the one-year risk in life insurance and how it is possible to cover it. This cover will lead to an interesting option mixing financial and actuarial risks, and making some links with Solvency II. However, we will see that this option is difficult to implement in practice and is rather a theoretical option than a realistic one. That’s why in the second section, we will make some simplifications in order to obtain a realistic option dedicated to life business and in the scope of reinsurance companies. This will give us our new life reinsurance product. As we will see, this new product is not completely unknown since it can be viewed as an aggregate excess of loss treaty applied to life business with a stochastic priority. Finally, the third section will give all the advantages and disadvantages of this new product.