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Reinsurance pricing model with Python application on client data

Maria Margherita Lovera

Reinsurance pricing model with Python application on client data.

Rel. Patrizia Semeraro. Politecnico di Torino, Corso di laurea magistrale in Ingegneria Matematica, 2022

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In July 2021 I started a 6 months internship at Sompo International, a leading global specialty provider of property and casualty insurance and reinsurance with headquarter in Bermuda. Sompo International Reinsurance operates with experienced underwriting teams worldwide providing a broad range of reinsurance products. I worked within the Reinsurance Actuarial Team in its Zurich Branch and this thesis is a summary of the things I learned along the months I had the opportunity to work within the company. The main purpose of this essay is to analyze the structure and methods that characterize a reinsurance pricing process, to present a client case to have a deeper look into the company’s methodologies and to introduce an alternative method to the company’s standard approach. The above mentioned description and analysis are done in line with the Actuarial Team’s work here in the Zurich office. The data I have been working on come from a cedant that provided its submission in September and that we priced by the end of October. The central part of this thesis focuses on transposing on Python the pricing done within the company, followed by the implementation of a method well known in the literature but not yet available in the company’s Excel pricing tool: the Panjer recursion. This work will most likely be useful for the Zurich Actuarial Team since it presents a method that can be easily implemented and that can be used as an alternative or comparison with the widely used and known Monte Carlo simulation.

Relators: Patrizia Semeraro
Academic year: 2021/22
Publication type: Electronic
Number of Pages: 135
Corso di laurea: Corso di laurea magistrale in Ingegneria Matematica
Classe di laurea: New organization > Master science > LM-44 - MATHEMATICAL MODELLING FOR ENGINEERING
Aziende collaboratrici: Endurance Specialty Insurance Limited
URI: http://webthesis.biblio.polito.it/id/eprint/23905
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