Optimizing Risk Retention

Quantitative Retention Management for Life Insurance Companies

The Society of Actuaries’ Reinsurance and Financial Reporting Sections and the Committee on Life Insurance Research announce the release of a research paper examining optimizing risk retention. Authored by Kai Kaufhold and Werner Lennartz, this paper outlines a method of deriving assumptions for modern reserving and solvency capital requirements from a company’s own data which can be utilized to measure the impact of reinsurance on reserves and capital of a life insurer. The paper includes a technical description of the method as well as a case study, which is based on a U.S. term life portfolio.


Optimizing Risk Retention

Thank You

The Sponsors would like to thank the companies that participated in the study and the following individuals that served on the Project Oversight Group:

Kevin James Trapp, Chair

Tom Edwalds

Clark F. Himmelberger

Lloyd M. Spencer, Jr

Min Mercer

Ronora Stryker, SOA Research Actuary

Jan Schuh, SOA Sr. Research Administrator


If you have questions or comments on this research, please contact Ronora Stryker, SOA Research Actuary, at rstryker@soa.org