Recent pricing posts

Non Bayesian Risk

2022-03-07 | pricing, insurance, risk, underwriting

Distortion risk measures When can a risk preference be represented by a certain functional form? EU, SEU, CEU, Savage etc.

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The Cost of Goods Sold

2022-02-25 | presentations, insurance, risk, pricing

John Major and Stephen Mildenhall, CARe Meeting, June 9, 2021

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Towards the Quantitative Analysis of Quantitative Factors

2022-02-28 | pricing, insurance, risk, underwriting

Broad buckets of risk process risk; param risk; winner’s curse; PAT; ambiguity; morale hazard; info asymmetry

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The Insurance Stack in a Disrupted World

2017-11-15 | insurance, pricing, FinTech, InsurTech, disruption

DRAFT / work in progress! Value and Functional Organization in the Insurance Stack With Implications for the Traditional Insurer’s Place in a Disrupted World

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Charging for Diversifiable Risk and Proud to Do It

2020-09-24 | capital allocation, risk, pricing, insurance, presentations

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

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How to Allocate Capital if You Really Must

2020-05-13 | capital allocation, risk, pricing, insurance, presentations

John Major and Stephen Mildenhall, CAS Spring Meeting, May 13, 2020

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Spectral Risk Measures and Applications in Insurance ERM

2020-03-25 | capital allocation, risk, pricing, insurance, ERM, presentations

John Major and Stephen Mildenhall, ASTIN Special Interest Webinar, March 25, 2020

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A Modern Approach to Pricing for Risk

2021-11-15 | presentations, pricing, insurance, 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

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Equilibrium Risk Pools

2020-10-21 | risk, pricing, market, equilibrium, presentations

This research investigates equilibrium risk pools in a market with risk-based solvency regulation and costly capital. It considers a market with two classes of risk, each having

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When Is Premium Riskier Than Loss Slides

2021-11-30 | insurance, risk, pricing, presentations

Premium to GDP Ratio: 1968 Watershed

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Pricing Insurance Risk Book

2022-01-28 | book, pricing insurance risk, pricing, insurance, risk, PIRC

Pricing insurance risk is a book I have written with John Major. It describes the last mile of underwriting. Actuaries and accountants have determined the cost of goods sold: the

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When Is Premium Riskier Than Loss

2022-01-28 | insurance, market, market cycle, pricing

An analysis of US statutory insurance data since 1992 shows that premium is more uncertain and harder to forecast than loss for several casualty lines! Property lines have

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