New Insurance Economics Findings from Western University Described (Weighted risk capital allocations in the presence of systematic risk)

Insurance Weekly News

By a News Reporter-Staff News Editor at Insurance Weekly News -- Researchers detail new data in Economics - Insurance Economics. According to news reporting out of London, Canada, by VerticalNews editors, research stated, "Determining aggregate risk capital is a fundamental problem of modem Enterprise Risk Management, and the determination process has been fairly well studied. The allocation problem, on the other hand, is generally much more involved even when a specific risk measure inducing the allocation rule is assumed, let alone the case when a class of risk measures is considered."

Financial supporters for this research include Casualty Actuarial Society (CAS), Natural Sciences and Engineering Research Council (NSERC).

Our news journalists obtained a quote from the research from Western University, "In this paper we put forward arguments showing that the problems of determining and allocating the aggregate risk capital can often be viewed as being of similar complexity. In particular, we show that this is the case for the entire class of weighted risk capital allocations, as well as for risk portfolios that are exposed to systematic and specific risk factors. We provide detailed analyses of the Weighted Insurance Pricing Model (WIPM) under multiplicative and additive systematic-risk frameworks."

According to the news editors, the research concluded: "Also, a Gini-type WIPM, which is related to the WIPM in a similar way as the dual (i.e., rank dependent) utility theory is related to the classical utility theory, is proposed."

For more information on this research see: Weighted risk capital allocations in the presence of systematic risk. Insurance Mathematics & Economics, 2018;79():75-81. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

Our news journalists report that additional information may be obtained by contacting E. Furman, Western Univ, Sch Math & Stat Sci, London, ON N6A 5B7, Canada. Additional authors for this research include A. Kuznetsov and R. Zitikis.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.insmatheco.2017.12.010. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

Keywords for this news article include: London, Ontario, Canada, North and Central America, Insurance Economics, Economics, Risk and Prevention, Western University.