A Modern Approach to Pricing for Risk

presentations
Author

Stephen J. Mildenhall

Published

2021-11-15

A Modern Approach to Pricing for Risk

Liberty Mutual, November 2021

Slides

  • Avoid Arbitrary Assumptions!
  • The wisdom of Adam Smith
  • Three market actors
  • Problems with additive pricing functionals
  • Buyer motivation and bid-ask spreads
  • Insurers as transformers and intermediaries
  • Working with Bernoulli risks
  • Distortions and spreads
  • Adding up to price realistic risks
  • The problems with capital allocation
  • Marginal and risk decomposition are the same (Delbaen’s theorem)
  • The problems caused by limited liability