Tesi di LAUREA SPECIALISTICA Titolo Solvency II e la Riassicurazione come strumento di mitigazione del rischio Data 2011-10-06 Autore/i D Isanto, Roberta Relatore Barucci, E. Full text non disponibile Abstract The purpose is to introduce the main aspects of the new European insurance Directive, known as Solvency II, and to evaluate some reinsurance impacts on the calculation of the SCR (Solvency Capital Requirement). Reinsurance can be understood as a mean of risk mitigation. So we take into account the Counterparty Risk Defaul section and study how the agency ratings and diversication could have an impact on capital requirements. Surprisingly we have found that the hedging strategy on a single reinsurer with a good rating does not necessarily entail greater risks compared to a more diversified strategy that involves multiple reinsurers, in terms of the new legislation capital requirements. Also with regard to the SCR computation, we customize the standard formula calculating the NP (not Proportional) correction factor, applicable only if there is a XL treaty (Excess of Loss). The NP factor impact on SCR, at a rst reading of the new directive technical specications, might seem negligible, but our study shows that, according to the XL treaty features, the SCR can be reduced more than 10%, only using the NP factor. Always regard to reinsurance, without forgetting the focus on Solvency II, we have faced the problem of pricing a XL treaty, so that the premium not only reflects the uncertainty of the loss given the model and the parameters of the model, but also takes into account the uncertainty of the model and the uncertainty in the parameters given the model. We have compared different reinsurance strategies based on some performance indicators and veried that the company from which our datasets should buy some reinsurance treaties, but the choice of the reinsurance contract depends on the insurance business and strategy and on the basis used to sort the indicators con- sidered results. We then search the optimal risk retention policy that minimizes the VaR, the ES or the standard deviation and it should be remarked that the introduction of a constraint, for example, the reinsurance maximum principal amount allocated, leads to a constrained optimization problem. All these studies have been conducted after having modeled the loss distribution with a lognormal distribution and the aggregate loss with a compound Poisson process.