金融工程研究中心学术报告：Retrocession: A Double-edged Sword to Reinsurers

报 告 人：Seva Shneer 报告时间：2023年10月25号  18:30 - 19:30 报告地点：#腾讯会议：966-254-484 报告摘要： The current reinsurance market is extremely concentrated. The interconnections among reinsurers can be intertwined due to retrocession (i.e., reinsurance on reinsurance), causing reinsurance spirals. In this paper, we aim at a quantitative understanding of the role of retrocession in the health of reinsurers. To this end, we construct a static insurance–reinsurance network in which insurers purchase reinsurance and reinsurers also purchase reinsurance from each other. Through an asymptotic study of the number of defaulted reinsurers for the case of heavy-tailed primary losses, we discover that retrocession is a double-edged sword to the health of reinsurers. This is joint work with Qihe Tang (UNSW Sydney).     报告人简介： Seva Shneer obtained his PhD from Heriot-Watt University, Edinburgh, UK, in 2006. He then held postdoctoral positions in EURANDOM (Eindhoven, the Netherlands) and EPFL (Lausanne, Switzerland) before joining Heriot-Watt University as a member of staff in 2010. He is now Associate Professor in the Department of Actuarial Mathematics and Statistics. Seva's work is in applied probability. His interests are in rare events, large deviations, random graphs and processes on them. His work is motivated by applications in many fields including communication networks, data networks and data spread, economics and insurance, energy.