재보험 출재비율 최적화 전략연구

Insurance company is using reinsurance for reducing risks exposured. It requires reinsurance cost to cede risks to reinsurance companies and it also requires capital coast if company keeps risks in the company because company should have the capital against the risk. Therefore it is an important decision made in terms of cost to determine a quota share ratio of premium for reinsurance. This article was derived the optimal quota share ratio of reinsurance to minimize the sum of reinsurance costs and the cost of capital calculated with a mathematical proof. The reinsurance cost functions of resinsurance methods generally used in the life insurance industry which are profit sharing method and premium discount method has always appeared as a linear function or a broken linear function. The total cost function that is reinsurance cost function plus capital cost function is found not to have a minimum value in terms of the ceding ratio if A = (1 - claim ratio)*(1-profit sharing ratio) + profit sharing ratio * reinsurer’s expense ratio is bigger than % × coefficient for risk adjusting in RBC ratio. In this case insurance company needs to cede 100% or to retain 100% for minimum cost. In practice A is almost always bigger than % × coefficient for risk adjusting and company should find the other conditions rather than reinsurance cost and cost of capital for finding optimal ceding ratio.