Stochastic modelling of the reinsurer’s financial result in excess of loss reinsurance contract and calculation of the reinsurer’s expected deficit of reinsurer in accordance with the Central Bank of Russia statement 781-S

One of the existing problems in regulating the Russian insurance market is opposition to the conclusion of so-called financial reinsurance contracts, that is, there are reinsurance contracts whose purpose is not the transfer of insurance risk, but the redistribution of funds. Such contracts are characterized by special conditions that ensure that the financial result for the reinsurer under the contract is predetermined and does not depend on the occurrence of insurance events under the reinsured contracts. To solve this problem, the Statement of the Central Bank of Russia from 16.11.2021 № 781-S (red. 22.09.2022) «Requirements for financial stability and solvency of insurers» introduced a condition providing for the calculation of the EDP indicator for disproportionate reinsurance contracts - the expected deficit of the reinsurer, which must exceed the established standard for the contract to be recognized as transferring insurance risk. This article proposes a method for solving the problem of calculating the EDP using a simulation mechanism in the Python programming language based on the capabilities of the scipy.stats module of the scipy library.