An optimal reinsurance simulation model for non-life insurance in the Solvency II framework

Abstract In this paper, we propose an approach to explore reinsurance optimization for a non-life multi-line insurer through simulation model that combines alternative treaties. Based on the Solvency II framework, maximises both solvency ratio and portfolio performance under user-defined constraints. Data visualisation helps understanding numerical results and, together with concept of Pareto frontier, supports selection optimal program. We show in case study methodology can be easily restructured deal multi-objective optimization, finally, selected programs from each proposed problem are compared.