A Discussion of "Risk Load for Insurers" by Sholom Feldblum

Topics:
Insurance,
Investment and Capital Markets
Tags:
Business Operations,
Capital Asset Pricing Model,
Casualty Actuarial Society,
Corporate Insurance,
Finance,
Financial Planning,
Insurance,
Theory
Source:
Casualty Actuarial Society

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Overview: This paper discusses various methodologies for estimating the insurance risk load. According to this paper, traditional methods are inadequate. As such, the majority of the paper discusses a proposed methodology for applying modem portfolio theory and the Capital Asset Pricing Model (CAPM) to the insurance pricing problem. Unfortunately, the proposed methodology represents an unsound application of financial theory to an insurance problem. Specifically, the proposed methodology merely borrows the notation of the CAPM, without considering the underlying assumptions and logic of the CAPM paradigm.

(Is this item miscategorized? Does it need more tags? Let us know.)

Format: PDF | Size: 614KB | Date: Mar 2004 | Pages: 16

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