PRICING INSURANCE RISK
A comprehensive framework for measuring, valuing, and managing risk
Pricing Insurance Risk: Theory and Practice delivers an accessible and
authoritative account of how to determine the premium for a portfolio of
non-hedgeable insurance risks and how to allocate it fairly to each
portfolio component.
The authors synthesize hundreds of academic research papers, bringing to
light little-appreciated answers to fundamental questions about the
relationships between insurance risk, capital, and premium. They lean on
their industry experience throughout to connect the theory to real-world
practice, such as assessing the performance of business units,
evaluating risk transfer options, and optimizing portfolio mix.
Readers will discover:
- Definitions, classifications, and specifications of risk
- An in-depth treatment of classical risk measures and premium
calculation principles
- Properties of risk measures and their visualization
- A logical framework for spectral and coherent risk measures
- How risk measures for capital and pricing are distinct but interact
- Why the cost of capital, not capital itself, should be allocated
- The natural allocation method and how it unifies marginal and
risk-adjusted probability approaches
- Applications to reserve risk, reinsurance, asset risk, franchise
value, and portfolio optimization
Perfect for actuaries working in the non-life or general insurance and
reinsurance sectors, Pricing Insurance Risk: Theory and Practice is
also an indispensable resource for banking and finance professionals, as
well as risk management professionals seeking insight into measuring the
value of their efforts to mitigate, transfer, or bear nonsystematic
risk.
