关键词: 再保险, 广义帕累托分布, 风险价值

Abstract: The reinsurer’s integrated risk management ability is important to the safety of direct insurers and the stability of insurance market. This paper presents an application to the claims of an reinsurance company providing a model for loss rate evaluated through simulations based on the peaks over threshold’s approach and compares the risk distribution difference between the quota share reinsurance and non-proportional reinsurance. The results show that loss of reinsurance businesses is not subjected to norm distribution and present a behavior of fat tail. The mean of quota share reinsurance’s loss distribution is larger than non-proportional reinsurance’s, while the variance and risk loss rate at high confidence level is smaller. The conclusions also indicate that reinsurance company should develop in the international market and diversify its risk.

Key words: Reinsurance, Generalized Pareto Distribution, Value-at-Risk