Track: Financial Engineering

Abstract

An insurance insurer has a risk of loss. The risk of loss occurs if the insurer must bear claims beyond his ability. However, the insurer can reduce this risk by utilizing reinsurance. This paper intends to examine a reinsurance loss model developed by Panjer & Willmot in 1992, to process a group of data so as to produce information needed by actuaries in making decisions. Here is described the steps that must be implemented, and the calculation process is assisted by a computer application program to make it easier. This model is used to meet the need for information on the distribution of total claims, premium stop loss and variance for various retention levels. The calculation results show this model is the most effective for the number of policies and small benefits. Because the greater the number of policies and benefits, the more number of arrays and elements needed in each iteration and computer application program. So that it can quickly produce information needed by actuaries to support decision making.