Читать книгу Pricing Insurance Risk - Stephen J. Mildenhall - Страница 5
Contents
Оглавление1 Cover
5 Preface
6 1 Introduction1.1 Our Subject and Why It Matters1.2 Players, Roles, and Risk Measures1.3 Book Contents and Structure1.4 What’s in It for the Practitioner?1.5 Where to Start
7 2 The Insurance Market and Our Case Studies2.1 The Insurance Market2.2 Ins Co.: A One-Period Insurer2.3 Model vs. Reality2.4 Examples and Case Studies2.5 Learning Objectives
8 Part I Risk3 Risk and Risk Measures3.1 Risk in Everyday Life3.2 Defining Risk3.3 Taxonomies of Risk3.4 Representing Risk Outcomes3.5 The Lee Diagram and Expected Losses3.6 Risk Measures3.7 Learning Objectives4 Measuring Risk with Quantiles, VaR, and TVaR4.1 Quantiles4.2 Value at Risk4.3 Tail VaR and Related Risk Measures4.4 Differentiating Quantiles, VaR, and TVaR4.5 Learning Objectives5 Properties of Risk Measures and Advanced Topics5.1 Probability Scenarios5.2 Mathematical Properties of Risk Measures5.3 Risk Preferences5.4 The Representation Theorem for Coherent Risk Measures5.5 Delbaen’s Differentiation Theorem5.6 Learning Objectives5.A Lloyd’s Realistic Disaster Scenarios5.B Convergence Assumptions for Random Variables6 Risk Measures in Practice6.1 Selecting a Risk Measure Using the Characterization Method6.2 Risk Measures and Risk Margins6.3 Assessing Tail Risk in a Univariate Distribution6.4 The Intended Purpose: Applications of Risk Measures6.5 Compendium of Risk Measures6.6 Learning Objectives7 Guide to the Practice Chapters
9 Part II Portfolio Pricing8 Classical Portfolio Pricing Theory8.1 Insurance Demand, Supply, and Contracts8.2 Insurer Risk Capital8.3 Accounting Valuation Standards8.4 Actuarial Premium Calculation Principles and Classical Risk Theory8.5 Investment Income in Pricing8.6 Financial Valuation and Perfect Market Models8.7 The Discounted Cash Flow Model8.8 Insurance Option Pricing Models8.9 Insurance Market Imperfections8.10 Learning Objectives8.A Short- and Long-Duration Contracts8.B The Equivalence Principle9 Classical Portfolio Pricing Practice9.1 Stand-Alone Classical PCPs9.2 Portfolio CCoC Pricing9.3 Applications of Classical Risk Theory9.4 Option Pricing Examples9.5 Learning Objectives10 Modern Portfolio Pricing Theory10.1 Classical vs. Modern Pricing and Layer Pricing10.2 Pricing with Varying Assets10.3 Pricing by Layer and the Layer Premium Density10.4 The Layer Premium Density as a Distortion Function10.5 From Distortion Functions to the Insurance Market10.6 Concave Distortion Functions10.7 Spectral Risk Measures10.8 Properties of an SRM and Its Associated Distortion Function10.9 Six Representations of Spectral Risk Measures10.10 Simulation Interpretation of Distortion Functions10.11 Learning Objectives10.A Technical Details11 Modern Portfolio Pricing Practice11.1 Applying SRMs to Discrete Random Variables11.2 Building-Block Distortions and SRMs11.3 Parametric Families of Distortions11.4 SRM Pricing11.5 Selecting a Distortion11.6 Fitting Distortions to Cat Bond Data11.7 Resolving an Apparent Pricing Paradox11.8 Learning Objectives
10 Part III Price Allocation12 Classical Price Allocation Theory12.1 The Allocation of Portfolio Constant CoC Pricing12.2 Allocation of Non-Additive Functionals12.3 Loss Payments in Default12.4 The Historical Development of Insurance Pricing Models12.5 Learning Objectives13 Classical Price Allocation Practice13.1 Allocated CCoC Pricing13.2 Allocation of Classical PCP Pricing13.3 Learning Objectives14 Modern Price Allocation Theory14.1 The Natural Allocation of a Coherent Risk Measure14.2 Computing the Natural Allocations14.3 A Closer Look at Unit Funding14.4 An Axiomatic Approach to Allocation14.5 Axiomatic Characterizations of Allocations14.6 Learning Objectives15 Modern Price Allocation Practice15.1 Applying the Natural Allocations to Discrete Random Variables15.2 Unit Funding Analysis15.3 Bodoff’s Percentile Layer of Capital Method15.4 Case Study Exhibits15.5 Learning Objectives
11 Part IV Advanced Topics16 Asset Risk16.1 Background16.2 Adding Asset Risk to Ins Co.16.3 Learning Objectives17 Reserves17.1 Time Periods and Notation17.2 Liability for Ultimate Losses17.3 The Solvency II Risk Margin17.4 Learning Objectives18 Going Concern Franchise Value18.1 Optimal Dividends18.2 The Firm Life Annuity18.3 Learning Objectives19 Reinsurance Optimization19.1 Background19.2 Evaluating Ceded Reinsurance19.3 Learning Objectives20 Portfolio Optimization20.1 Strategic Framework20.2 Market Regulation20.3 Dynamic Capital Allocation and Marginal Cost20.4 Marginal Cost and Marginal Revenue20.5 Performance Management and Regulatory Rigidities20.6 Practical Implications20.7 Learning Objectives
12 A Background MaterialA.1 Interest Rate, Discount Rate, and Discount FactorA.2 Actuarial vs. Accounting Sign ConventionsA.3 Probability TheoryA.4 Additional Mathematical Terminology
13 B Notation
14 References
15 Index
