Abstract

http://ssrn.com/abstract=2169930
 
 

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Understanding and Monitoring Reinsurance Counterparty Risk


Mathieu Gatumel


Université de Savoie - Institut de Recherche en Gestion et Économie (IREGE); French National Center for Scientific Research (CNRS) - Centre de Recherches Appliquées à la Gestion (CERAG)

Sabine Lemoyne de Forges


affiliation not provided to SSRN

November 1, 2012

Bulletin Français d'Actuariat, 2013, Vol. 13(26), 121-138

Abstract:     
Since 2008, catastrophic losses and financial turmoil have deeply shaken the insurance and reinsurance industries. Severe difficulties encountered by sector leaders like AIG and Swiss Re have shed light on the potential fragility of the players, and have increased attention on the subject of reinsurance counterparty risk. This corresponds to the exposure of an insurance company to reinsurer failure and is difficult to assess due to a scarcity of reliable measures. It has long been considered as largely auto-regulated by the insurance market. The impact of reinsurance credit on an insurers’ balance sheet, market complexity and lack of coordinated responses among states begs questions concerning the role of control and regulation. In this article, we address the current state of reinsurance counterparty risk and existing means by which to measure it. We then discuss the impact of market discipline on this risk and point out the importance of control within the reinsurance industry. We particularly look at the key role of regulation in providing better risk measurement tools to assist in assessing the importance of reinsurance counterparty risk on insurance levels and the systematic development of risk management tools.

Number of Pages in PDF File: 15

Keywords: Reinsurance Counterparty Risk, Solvency, Market Discipline, Regulation

JEL Classification: G22, G28, G32, G33

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Date posted: November 3, 2012 ; Last revised: February 4, 2014

Suggested Citation

Gatumel, Mathieu and Lemoyne de Forges, Sabine, Understanding and Monitoring Reinsurance Counterparty Risk (November 1, 2012). Bulletin Français d'Actuariat, 2013, Vol. 13(26), 121-138. Available at SSRN: http://ssrn.com/abstract=2169930 or http://dx.doi.org/10.2139/ssrn.2169930

Contact Information

Mathieu Gatumel (Contact Author)
Université de Savoie - Institut de Recherche en Gestion et Économie (IREGE) ( email )
4 Chemin de Bellevue
BP 80439
Annecy-le-Vieux, 74944
France
French National Center for Scientific Research (CNRS) - Centre de Recherches Appliquées à la Gestion (CERAG) ( email )
150 rue de la Chimie, BP47
Grenoble Cedex 9, 38040
France
+33 4 76 28 45 78 (Phone)
Sabine Lemoyne de Forges
affiliation not provided to SSRN
No Address Available
Feedback to SSRN


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