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An earlier paper by the same authors developed the Daykin et al. (1994) asset/liability model to examine the effects of different reinsurance programmes on the capital of a direct property/casualty insurance company. By modelling the gross premiums and claims separately from the impact of reinsurance on them, it is possible to examine directly the effects of different reinsurance programmes on a company's expected performance just as easily as changes in asset mix or business volumes. This paper goes on to discuss how such a model can be used to quantify capital at risk for management reporting purposes, both for the company as a whole, and within individual profit centres, and how this is affected by different reinsurance strategies. It therefore links closely to the Dynamic Financial Analysis project being sponsored by the Casualty Actuarial Society.
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