Abstract

Rückversicherung und alternativer Risikotransfer als alternative risikopolitische Instrumente

Martin Nell
Andreas Richter

Universität Frankfurt
Universität Hamburg

The literature concerned with the topic of ART (alternative risk transfer) is for the most part purely descriptive. Most papers contain classifications and detailed description of different instruments of ART. When comparisons between ART and classical reinsurance are attempted, authors usually restrict themselves to listing potential advantages and disadvantages of the instruments. Seriously lacking is a rigorous analysis that models ART and reinsurance as substitutes for covering risks. The aim of our paper is to derive the optimal demand for both ART and reinsurance in situations in which both instruments are available to cover risks.

Our paper is organized as follows: In the first section, we neglect moral hazard problems and analyse an insurer’s optimal demand for reinsurance, assuming he has already bought an ART product and wants to cover basic risk by reinsurance. Maintaining the assumption that the insurer cannot influence the loss distribution, the second section of our paper deals with conditions for the optimal demand for both reinsurance and ART, simultaneously. Finally, in the third section, reinsurance moral hazard problems are taken into account and conditions for the second best optimum are derived.