Assa, Hirbod (2025) Static Risk Measures in a Frequency-Severity Framework with Systematic Risk: Application in Reinsurance. North American Actuarial Journal, 29 (1). pp. 94-118. DOI https://doi.org/10.1080/10920277.2024.2351050
Assa, Hirbod (2025) Static Risk Measures in a Frequency-Severity Framework with Systematic Risk: Application in Reinsurance. North American Actuarial Journal, 29 (1). pp. 94-118. DOI https://doi.org/10.1080/10920277.2024.2351050
Assa, Hirbod (2025) Static Risk Measures in a Frequency-Severity Framework with Systematic Risk: Application in Reinsurance. North American Actuarial Journal, 29 (1). pp. 94-118. DOI https://doi.org/10.1080/10920277.2024.2351050
Abstract
This article presents the concept of static risk measures as an approach to assessing risk by focusing on loss severity within a frequency-severity framework that encompasses systematic and common shocks. This article will discuss a set of important properties of static risk measures and compare them with the ruin-based risk measures. It will also give a robust representation of static risk measures and discuss the implications of such representation to designing optimal reinsurance contracts. By introducing a flexible framework, the model accommodates additional elements such as systematic and common shocks, enhancing its applicability in the field of reinsurance.
Item Type: | Article |
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Divisions: | Faculty of Science and Health Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 07 Apr 2025 12:15 |
Last Modified: | 07 Apr 2025 12:15 |
URI: | http://repository.essex.ac.uk/id/eprint/40653 |
Available files
Filename: Static Risk Measures in a Frequency-Severity Framework with Systematic Risk Application in Reinsurance.pdf
Licence: Creative Commons: Attribution 4.0