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Optimización de las estructuras tradicionales de reaseguros

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Authors

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Peña Muñoz, Alvaro
Abstract (Spanish)
La Superintendencia Financiera de Colombia (SFC) ha emitido la circular 027 de 2022 con la cual solicita al sector asegurador “Realizar ejercicios actuariales de modelación de las pérdidas. Para el efecto, deben implementar un modelo cuantitativo que, con un determinado nivel de confianza, permita establecer que el programa de reaseguro es razonable para respaldar la siniestralidad estimada para la cartera” (Circular Básica Jurídica 029, 2014) El propósito de este trabajo de grado es proponer una respuesta a dicha solicitud, buscando optimizar los resultados de la aseguradora, mediante la definición de la estructura del contrato de reaseguros. Conociendo las características del exceso de pérdida, se obtendrá la cesión del contrato cuota parte, que partiendo de un modelo de frecuencia y de severidad, logra una distribución bruta de los siniestros de la compañía, la cual, en conjunto con la función de costos y la inclusión de unos indicadores de rentabilidad, al igual que de los índices de riesgo para cubrir el riesgo de primas expedidas al 99,5% y la regulación colombiana, permitirá mediante simulaciones, minimizar la función de costos de cesión para de esta manera optimizar los contratos de reaseguros.
Abstract (English)
The Financial Superintendence of Colombia (SFC) has issued the notice 027 of 2022 with which it requests the insurance sector to “Carry out actuarial exercises to model losses. For this purpose, they must implement a quantitative model that, with a certain level of confidence, can establish that the reinsurance program is reasonable to support the estimated loss ratio for the portfolio” (Circular Basica Juridica 029, 2014) The purpose of this work is to propose a response to said request, seeking to optimize the results of the insurer, by defining the structure of the reinsurance contract. Knowing the characteristics of the excess loss, the assignment of the quota part contract will be obtained, which based on a frequency and severity model, achieves a gross distribution of the 6 company's claims, which, together with the cost and the inclusion of profitability indicators, as well as the risk indices to be met to cover written premium risks at a 99,5 percentile and the Colombian regulation, will allow, through simulations, to minimize the transfer cost function in order to optimize reinsurance contracts.
Director

Advisors/Directors

Rojas Silva, Ignacio
Extent
58 paginas.
URI: https://repositorio.escuelaing.edu.co/handle/001/3439
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GE - Trabajos de Grado Maestría en Ciencia de Datos
References

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