Simulation Analysis of Catastrophe Loss Model and Reinsurance Premium under Optimal Value-at-Risk

[[abstract]]巨災風險一旦發生往往使一地區大量保險標的物同時受損，頓時使得保險公司或再保公司負擔加劇，且危險事故發生所造成損失無法確定，故本文利用複合卜瓦松分配(Compound Poisson distribution)來架構損失模型，以此模型模擬超額損失資料，並利用風險值選取門檻值(自留額)；再者運用極值理論配適尾部損失資料來估計超額總損失金額，進而配合效用理論使再保附加費用客觀化，以此結果估算再保保費，讓保險公司能做出一合理的再保策略。[[abstract]]Catastrophe risk occurs at once that will cause the damage of lots of insurance objective in the same area. Immediately, it will increase the burden of insurance company or reinsurance company. Meanwhile, it is uncertain that the damage caused from accident. The purpose of this thesis is to set up the loss model by utilizing the Compound Poisson distribution. Simulating the loss data with the Compound Poisson distribution and selecting the retention by Value-at-Risk. Then, the total risk amount could be calculated by utilizing the extreme value theory to fit the data over the retention. Furthermore, it could be more optimistic to calculate the reinsurance loading by adopting efficiency theory. The insurance company could decide the reasonable reinsurance strategy by calculating the reinsurance premium according to the result