Optimización del reaseguro a través de la metodología de frontera eficiente

Abstract

In the context of insurance companies, reinsurance is the most effective tool to reduce the volatility of the financial statements and increase the equity capacity, generating the maximum possible value to the shareholder. The purpose of this study is to determine a helpful way to CEOs to make optimal reinsurance decisions based on expected return and risk appetite based on exposed capital (measured through international standards). The proposed method is done through the application of efficient frontier of portfolios to the key variables of the insurance companies, in order to obtain from a single perspective the hiring decision of the appropriate reinsurance structure, ensuring that the decision that is going to be make maximizes profits based on the assumed risk.