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Study on Environmental Liability Reinsurance Premium Rate Based on Extreme Value Theory

Author: DaiLeiQi
Tutor: YouGuiYun
School: Ocean University of China
Course: Insurance
Keywords: Environmental liability reinsurance Pareto pricing Extreme valuetheory Threshold
Type: Master's thesis
Year: 2013
Downloads: 2
Quote: 0
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As an effective economic policy dealing with problems of environmental pollution, environmental liability insurance was launched as the second national mandatory liability in February2013, after some cities pilot and theory to explore in our country. In the long-term healthy development of environmental liability insurance, support from reinsurance is of great value. The setting up of the environmental liability reinsurance not only is able to disperse the original insurance company’s risk, and also helps to improve the environmental liability insurance system. However, reasonable pricing is the premise of environmental liability reinsurance system development. Therefore, this article will explore the pricing problem of the environmental liability reinsurance.At the beginning, this paper has determined the mode of the environmental liability reinsurance before the study of environmental liability reinsurance pricing. Based on the analysis of the reinsurance mode theory, considering the high risk of the environmental pollution losses and the insufficiency of the data of the environmental pollution losses, this paper set non-proportional reinsurance as the mode of the environmental liability reinsurance for the insurance company to achieve revenue maximization in the case of a certain risk. Meanwhile, it eventually determines per risk excess of loss reinsurance as the pricing model of the environmental liability reinsurance via comparing the applicability of three modes in condition of non-proportional reinsurance.This paper studies environmental liability reinsurance rates determining as the research object, focusing on environmental liability reinsurance pricing method selection and the establishment of the reinsurance model of environmental responsibility. Based on the studying of a variety of reinsurance pricing methods, taking into account the insufficiency of the data of the environmental pollution losses, the insurability of the risk, the aperiodic of the data and the difficulties in constructing the risk curve, it determined Pareto pricing, one of the experience pricing methods as the pricing method of the environmental liability reinsurance. At the same time, taking into account fat-tail of the environmental pollution losses data, it introduces into the pricing method the extreme value theory, which is able to handle fat tail data, and focuses on fitting the loss distribution of the liability losses caused by environmental pollution, making the environmental liability reinsurance pricing model more accurate.Finally, taking chemical raw materials and chemical products manufacturing industry as an example, the paper has calculated the industry’s environmental responsibility reinsurance premiums, using the determining model of the environmental liability reinsurance rates. The article covers the whole process of the environmental liability reinsurance rates determined, enriches environmental responsibility reinsurance pricing theory via the Construction and Empirical Research on the model of the environmental liability reinsurance rates, provide some ideas of determining the environmental liability reinsurance rates and carries out some contribution in improving the environmental liability insurance system, and promoting environmental liability insurance in China.

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