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    Pricing Insurance Risk: Theory and Practice

    Posted By: yoyoloit
    Pricing Insurance Risk: Theory and Practice

    Pricing Insurance Risk
    by Mildenhall, Stephen J.;

    English | 2022 | ISBN: ‎ 1119755670, 978-1119755678 | 554 pages | True PDF | 13.43 MB

    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.