Insurance portfolio risk retention. (English) Zbl 1414.91186

Summary: In this article, I introduce a statistic for managing a portfolio of insurance risks. This tool is based on changes in the risk profile when changes in a risk parameter, such as a deductible, coinsurance, or upper policy limit, are made. I refer to the new statistic as a risk measure relative marginal change and denote it as \(RM^2\). By examining data from the Wisconsin Local Government Property Fund, I show how it can be used by an insurer to identify the “best” and “worst” risks in terms of opportunities for risk management. The \(RM^2\) changes reflect the underlying dependence structure of risks; I use an elliptical copula framework to demonstrate the sensitivity of risk mitigation strategy to the dependence structure.


91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
Full Text: DOI


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