Pricing Insurance Risk: Practice and Theory and Closing
Pricing Insurance Risk: Practice and Theory and Closing
The IAA Sections
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uploaded November 08, 2022
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Speakers:Stephen Mildenhall
Description:
Highlights
Adam Smith was ahead of his time. It takes two risk measures to price. The Cost of Capital (CoC) is not constant. Modern finance provides a satisfying theoretical pricing model. But it doesn’t quite work in practice and is hard to parameterize. Allocate premium, not capital. Parameterize to financing and strategic decisions as well as premiums.
Tags:premiumstochastic modelrisk-returnpricing modelpricing insurance riskcost of capitalspectral risk measuresportfolio pricingrisk discount factorsrmspricing functional properties
Categories:ASTIN / NON-LIFE