Current Research

Research interests include insurance pricing, risk pricing, capital and risk allocation, insurance statistics, data visualization, insurance economics, actuarial science, impact of technology on insurance, communicating risk.

Pricing Insurance Risk

Pricing insurance risk is a book I am writing with John Major. It describes the last mile of underwriting. Actuaries and accountants have determined the cost of goods sold: the expected loss cost, direct and allocated expenses. In fact they have gone beyond simple point estimates and have provided a full range of potential outcomes, understood within the context of all the other risks written by the company. All that remains is to set a manual rate or quote a price or to accept or reject an offered market price (firm order). The book will describe the actuarial, risk theory, finance and accouning approaches to pricing insurance risk.

Bounds on Consistent Prices

We introduce an straightforward algorithm to determine a range of prices consistent with complete information about the risk but only partial information about the pricing risk measure. In many cases the algorithm produces bounds tight enough to be useful in practice. We illustrate the theory by applying it to three important problems: pricing for high limits relative to low limits, evaluating reinsurance programs, and portfolio-level strategic decision making. We also show how the theory can be used to test if prices for known risks are consistent with a single partially specified risk measure.

Other Projects
  • Computing aggregate loss distributions using FFTs in Python. Experiment interactively, review the documentation or checkout and contribute to the code on GitHub.
  • A life insurance inspired model of cats bond pricing.
  • What we can learn from insurer's participation decisions in the California Earthquake Authority.
  • Long term evolution of the insurance industry.
  • Insurer premium and loss dynamics.
  • Reserve development: bad methods or bad actors?