Constructing Insurable Risk Portfolios
Constructing Insurable Risk Portfolios by Edward W. Frees
English | April 8, 2025 | ISBN: 1032745045 | 328 pages | MOBI | 10 Mb
English | April 8, 2025 | ISBN: 1032745045 | 328 pages | MOBI | 10 Mb
Constructing Insurable Risk Portfolios offers a data-driven approach to devising risk retention programs that safeguard firms from a multitude of risks. Because firms face many risks, including fire damage to their buildings, liability from management misconduct, and external threats like cyberattacks, this book treats these potential liabilities as a "portfolio." Drawing inspiration from Markowitz portfolio theory, the text leverages techniques from probability, statistics, and optimization to build algorithms that construct optimal risk insurable portfolios under budget constraints.
Features
- Through engaging case studies and supporting statistical (R) code, readers will learn how to build optimal insurable risk portfolios.
- This book illustrates a frontier that depicts the trade-off between the uncertainty of a portfolio and the cost of risk transfer. This visual representation, mirroring familiar Markowitz investment tools, enables informed decision-making and easy adoption by risk advisors.
- This book lays the mathematical groundwork for constructing optimal insurable risk portfolios in an effective and aesthetically pleasing manner.
- For those interested in the detailed mathematical aspects of insurable risk portfolio optimization, comprehensive proofs and derivations are available in an online supplement.
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