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 Course

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

Purpose This course explains modern approaches to pricing insurance risk, the process of setting a technical premium, including a target risk margin or profit load. PIR is the last mile of

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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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