Ruína e retenção de riscos decorrentes de ações bélicas em uma resseguradora hipotética

Abstract

The vulnerability of reinsurers to catastrophic events, such as wars and military conflicts, challenges the sector's financial stability, especially when the frequency and severity of claims amplify risks. This study elucidates the calculations of ruin and risk retention arising from military actions in a hypothetical reinsurer. To this end, Ruin Theory is used, combined with stochastic actuarial models, such as the classic Cramér-Lundberg model, Monte Carlo simulations, and Tail Value at Risk (TVaR), to calculate the probability of ruin, the surplus, and losses in extreme situations. The study also evaluates retention strategies using proportional and non-proportional reinsurance contracts. The results demonstrate that, in military contexts, the adoption of robust mitigation mechanisms is essential to minimize ruin and maximum losses, and to preserve the solvency and operational continuity of reinsurers.