Stochastic modelling of reinsurance credit risk

Stochastic modelling of reinsurance credit risk

risk25-money-jars

Credit risk from reinsurance recoverables (RR) is a critical exposure for insurance companies, which have to quantify this risk consistently with other positions, mainly on bonds and loans. These figures must be appropriately aggregated within credit risk and with other risk types (e.g. market, underwriting, operational risk) to obtain an overall risk figure within an internal risk model. Click here to view the article.