Static Risk Measures in a Frequency-Severity Framework with Systematic Risk: Application in Reinsurance
Year: 2024
Type: article
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.
Source: North American Actuarial Journal
Author: Hirbod Assa
Institution: University of Essex
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W4402744342