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

2020 Webinar - Charging for Diversifiable Risk and Proud to Do It: Multiline Insurance Pricing With a Distortion Risk Measure - Sept 24

This webinar analyzes multi-line insurance pricing in a real-world market using a non-additive distortion pricing functional. It explains how margin is related to the shape or distribution of underwriting risk and shows there is a single way to allocate premium, loss, and margin to individual polices. Further, we explain why there is a unique capital allocation consistent with the pricing functional.

Default states are not the primary driver of the margin nor its allocation, though they do have a meaningful impact.

Our methods produce returns that vary by line in a manner consistent actuarial intuitions about risk. We illustrate the theory with several examples, showing how the shape of risk drives different implied premiums.

The webinar will appeal to actuaries working in individual risk and reinsurance pricing, where risk loads and the cost of capital can be material.