Efficient risk allocation within a non-life insurance group under Solvency II regime

Intra-group transfers are risk management tools that are usually widely used to optimise the risk position of an insurance group. In this paper, it is shown that premium and liability transfers could be optimally made in such a way as to reduce the amount of Technical Provisions and Minimum Capital Requirement for the entire insurance conglomerate. These levels of required capital represent the minimal amount that needs to be held by the insurance group without regulator intervention, according to the Solvency II regulation. We assume that only proportional risk transfers are feasible, since such transfers are not difficult to administer for a large scaled insurance group, as is always the case. In addition, any risk shifting should be made for commercial purposes in order to be considered acceptable by the local regulators that impose restrictions on how much the assets within an insurance group are fungible. Our numerical examples illustrate the efficiency of the optimal proportional risk transfers which can easily be implemented, in terms of computation, in any well-known solver even for an insurance conglomerate with many subsidiaries. We found that our proposed optimal proportional allocations are more beneficial for large insurance group, since the relative reduction in capital requirement tends to be small, whereas the gain in absolute terms is quite significant for large scaled insurance group

Optimal risk transfer under quantile-based risk measurers

The classical problem of identifying the optimal risk transfer from one insurance company to multiple reinsurance companies is examined under some quantile-based risk measure criteria. We develop a new methodology via a two-stage optimisation procedure which not only allows us to recover some existing results in the literature, but also makes possible the analysis of high-dimensional problems in which the insurance company diversifies its risk with multiple reinsurance counter-parties, where the insurer risk position and the premium charged by the reinsurers are functions of the underlying risk quantile. Closed-form solutions are elaborated for some particular settings, although numerical methods for the second part of our procedure represent viable alternatives for the ease of implementing it in more complex scenarios. Furthermore, we discuss some approaches to obtain more robust results

Optimal reinsurance in the presence of counterparty default risk

The optimal reinsurance arrangement is identified whenever the reinsurer counterparty default risk is incorporated in a one-period model. Our default risk model allows the possibility for the reinsurer to fail paying in full the promised indemnity, whenever it exceeds the level of regulatory capital. We also investigate the change in the optimal solution if the reinsurance premium recognises or not the default in payment. Closed form solutions are elaborated when the insurer's objective function is set via some well-known risk measures. It is also discussed the effect of reinsurance over the policyholder welfare. If the insurer is Value-at-Risk regulated, then the reinsurance does not increase the policyholder's exposure for any possible reinsurance transfer, even if the reinsurer may default in paying the promised indemnity. Numerical examples are also provided in order to illustrate and conclude our findings. It is found that the optimal reinsurance contract does not usually change if the counterparty default risk is taken into account, but one should consider this effect in order to properly measure the policyholders exposure. In addition, the counterparty default risk may change the insurer's ideal arrangement if the buyer and seller have very different views on the reinsurer's recovery rate

Romanian 14 GHz ECR Ion Source RECRIS: main features and first operation

RECRIS, the romanian 14 GHz ECR ion source, designed to be used as a facility for atomic physics and material studies with highly charged ion beams, have been recently completed. The general design [1], the main characteristics and the detailed measurements of the radial [2] and axial magnetic fields are presented. A maximum axial magnetic field of 1.4 T and a mirror ratio of up to 4 were obtained. The dependence of the mirror ratio and of the ECR plasma zone volume on the configuration of the axial magnetic system configuration was studied. The first operation of this source is described, showing a good stability

Capital Requirements and Optimal Investment with Solvency Probability Constraints

Quantifying economic capital and optimally allocating it into portfolios of financial instruments are two key topics in the asset–liability management of an insurance company. In general, these problems are studied in the literature by minimizing standard risk measures such as the value at risk and the conditional VaR. Motivated by Solvency II regulations, we introduce a novel optimization problem to solve for the optimal required capital and the portfolio structure simultaneously, when the ruin probability is used as an insurance solvency constraint. Besides the generic optimal required capital and portfolio problem formulation, we propose a two-model hierarchy of optimization models, where both models admit the so-called second-order conic reformulation, in turn making them particularly well suited for numerics. The first model, albeit naively asserting the normality of the returns on assets and liabilities, under minor further simplifications admits a closed-form solution—a set of formulas, which may be used as simple decision-making guidelines in the analysis of more complex scenarios. A potentially more realistic second model aims to represent the ‘heavy-tailed’ nature of an insurer's liabilities more accurately, while also allowing arbitrary distributions of asset returns via a semi-parametric approach. Extensive numerical simulations illustrate the sensitivity and robustness of the proposed approach relative to the model's parameters. In addition, we explore the potential of insurance risk diversification and discuss if combining several liabilities into a single insurance portfolio may always be beneficial for the insurer. Finally, we propose an extension of the model with an expected return on capital constraint added

Quick-Connect Windowed Non-Stick Penetrator Tips for Rapid Sampling

Standard penetrator sampling systems were designed in order to allow for sampling via penetrators to produce a full set of sample acquisitions including volatile liquids, fine powders, and solid fragments. A gravity harpoon sampler has been designed with a removable tip and a quick coupling. The separation allows for sample handling and eliminates sample cross-contamination. Also, this design allows for multiple use of the penetrator body, which is the largest and heaviest part of the penetrator, while allowing for multiple changes of the light-mass, penetrator tip to avoid sample cross-contamination. The penetrator tip design has been improved by adding a spring trap to retain the sample, as well as a means for connecting to a quick coupling. Quick connect tips have been demonstrated in a sample handling carousel. The penetrator was released and rewound and the tips were released into a circular platter for rotation into instrument stations. The pyro-harpoon sampler was fabricated and tested with a NASA Standard Initiator (NSI) pyrotechnic charge. Initial tests collected cryogenic ice, but removal of the small pyro-harpoon from the ice was difficult. A brass metal sheath was then fitted over the harpoon tip, and removal from the ice was greatly alleviated by leaving the sheath in the ice. Quartz windows in the tips allow direct optical and spectral imaging and gas chromatography-mass spectrometer (GCMS) pyrolysis, and were found to survive impact. All systems were successfully tested by dropping into sand and into cryogenic ice

Sample Acquisition and Handling System from a Remote Platform

A system has been developed to acquire and handle samples from a suspended remote platform. The system includes a penetrator, a penetrator deployment mechanism, and a sample handler. A gravity-driven harpoon sampler was used for the system, but other solutions can be used to supply the penetration energy, such as pyrotechnic, pressurized gas, or springs. The deployment mechanism includes a line that is attached to the penetrator, a spool for reeling in the line, and a line engagement control mechanism. The penetrator has removable tips that can collect liquid, ice, or solid samples. The handling mechanism consists of a carousel that can store a series of identical or different tips, assist in penetrator reconfiguration for multiple sample acquisition, and deliver the sample to a series of instruments for analysis. The carousel sample handling system was combined with a brassboard reeling mechanism and a penetrator with removable tips. It can attach the removable tip to the penetrator, release and retrieve the penetrator, remove the tip, and present it to multiple instrument stations. The penetrator can be remotely deployed from an aerobot, penetrate and collect the sample, and be retrieved with the sample to the aerobot. The penetrator with removable tips includes sample interrogation windows and a sample retainment spring for unconsolidated samples. The line engagement motor can be used to control the penetrator release and reeling engagement, and to evenly distribute the line on the spool by rocking between left and right ends of the spool. When the arm with the guiding ring is aligned with the spool axis, the line is free to unwind from the spool without rotating the spool. When the arm is perpendicular to the spool axis, the line can move only if the spool rotates

Mining the ESO WFI and INT WFC archives for known Near Earth Asteroids. Mega-Precovery software

The ESO/MPG WFI and the INT WFC wide field archives comprising 330,000 images were mined to search for serendipitous encounters of known Near Earth Asteroids (NEAs) and Potentially Hazardous Asteroids (PHAs). A total of 152 asteroids (44 PHAs and 108 other NEAs) were identified using the PRECOVERY software, their astrometry being measured on 761 images and sent to the Minor Planet Centre. Both recoveries and precoveries were reported, including prolonged orbital arcs for 18 precovered objects and 10 recoveries. We analyze all new opposition data by comparing the orbits fitted before and after including our contributions. We conclude the paper presenting Mega-Precovery, a new online service focused on data mining of many instrument archives simultaneously for one or a few given asteroids. A total of 28 instrument archives have been made available for mining using this tool, adding together about 2.5 million images forming the Mega-Archive.Comment: Accepted for publication in Astronomische Nachrichten (Sep 2012

Metal-dielectric structures for high charge state ion production in ECR plasma

Metal-dielectric (MD) structures of pure (99.999%) aluminum foils were previously studied [1, 2] in the National Institute for Physics and Nuclear Engineering (NIPNE), Bucharest, Romania showing high secondary electron emission properties. Consequently, 26 mm diameter disks of such structures (Al-Al2O3) were tested in the ECR ion source of the Institut fuer Kernphysik (IKF) der J. W. Goethe Universitat, Frankfurt/Main, Germany, allowing to demonstrate their ability to significantly increase the ECRIS performances in what concerns the production of high charge state ions [3]. New experiments carried on in Bucharest on a special facility [2] stressed out the possibility to develop high emissive MD structures starting from lower purity (99%) aluminum foils. This result allowed us to make a special cylinder of 1 mm wall thickness electrolytically treated so that only the inner face had a MD structure layer while the external surface remained metallic. Such a cylinder introduced in the plasma chamber of an ECR ion source provides a high rate of secondary electrons that enhance the ECR plasma electron density while its metallic external surface provides a good electric and thermal contact with the plasma chamber. The tests performed with such a MD aluminum cylinder in the IKF 14 GHz ECR ion source, successfully demonstrated the possibility to shift the ECRIS output toward very high charge states (Ar16+) due to the strong secondary electron emission of the MD inner surface of the cylinder