Charging for Diversifiable Risk and Proud to Do It

presentations
Author

Stephen J. Mildenhall

Published

2020-09-24

Charging for Diversifiable Risk and Proud to Do It: Multiline Insurance Pricing with a Distortion Risk Measure

John Major and Stephen Mildenhall, CAS Webinar, September 24, 2020.

Slides

  • Types of risk
  • CAPM
  • Market charges for idiosyncratic risk
  • Winner’s curse
  • Ambiguity aversion
  • Tranching capital
  • Fungible capital
  • Distortion functions
  • Scenario-loss domain
  • Expected losses with limited liability
  • Equal priority
  • Expected loss by line with equal priority
  • Natural allocation
  • Frictional costs of capital
  • Two-line example
  • Understanding conditional losses by line
  • Why negative margins?
  • Market structure implications
  • Four market actors
  • How risks pool
  • Why is Florida homeowners written in monoline companies?