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ON MARINE LIABILITY PORTFOLIO MODELING

Published online by Cambridge University Press:  13 December 2019

William Guevara-Alarcón Open the ORCID record for William Guevara-Alarcón [Opens in a new window] ,
Hansjörg Albrecher Open the ORCID record for Hansjörg Albrecher [Opens in a new window]  and
Parvez Chowdhury
William Guevara-Alarcón*
Affiliation:
SCOR Switzerland Ltd, General Guisan Quai 26, 8002 Zürich, Switzerland Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, 1015 Lausanne, Switzerland, E-Mail: wguevara@scor.com, wmguevaraa@unal.edu.co
Hansjörg Albrecher
Affiliation:
Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, 1015 Lausanne, Switzerland Swiss Finance Institute, Lausanne, Switzerland, E-Mail: hansjoerg.albrecher@unil.ch
Parvez Chowdhury
Affiliation:
SCOR Switzerland Ltd, General Guisan Quai 26, 8002 Zürich, Switzerland, E-Mail: pchowdhury@scor.com
*
E-Mail: wguevara@scor.com, wmguevaraa@unal.edu.co
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Abstract

Marine is the oldest type of insurance coverage. Nevertheless, unlike cargo and hull covers, marine liability is a rather young line of business with claims that can have very heavy and long tails. For reinsurers, the accumulation of losses from an event insured by various Protection and Indemnity clubs is an additional source for very large claims in the portfolio. In this paper, we first describe some recent developments of the marine liability market and then statistically analyze a data set of large losses for this line of business in a detailed manner both in terms of frequency and severity, including censoring techniques and tests for stationarity over time. We further formalize and examine an optimization problem that occurs for reinsurers participating in XL on XL coverages in this line of business and give illustrations of its solution.

Keywords

Marine insuranceextreme value theoryPareto distributionoptimal reinsurance
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 50 , Issue 1 , January 2020 , pp. 61 - 93
Copyright
© Astin Bulletin 2019 

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