Constructing Insurable Risk Portfolios
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Constructing Insurable Risk Portfolios
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Author : Edward W. Frees
language : en
Publisher: CRC Press
Release Date : 2025-04-09
Constructing Insurable Risk Portfolios written by Edward W. Frees and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-04-09 with Business & Economics categories.
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. This book equips students, academics, and practitioners with quantitative tools to analyze real-world risk portfolios. Additionally, it empowers financial analysts to provide data-driven insights that enhance their advisory roles for risk managers.
Constructing Insurable Risk Portfolios
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Author : Edward W. Frees
language : en
Publisher: CRC Press
Release Date : 2025-05
Constructing Insurable Risk Portfolios written by Edward W. Frees and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-05 with Business & Economics categories.
1. Introduction. 2. Risk Retention Functions. 3. Balancing Retained Risk and Risk Transfer Cost. 4. Transferring Multiple Risks including Reinsurance. 5. Excess of Loss for Two Risks. 6. Managing Portfolios of Insurable Risks. 7. Simulating Multivariate Risks. 8. Risk Retention Case Studies. 9. Stress Testing, Sensitivity, and Robustness. 10. Sensitivity and Data Uncertainty. 11. Risk Retention Conditions. 12. The Role of Dependence in Managing Insurable Risks.
Portfolio Construction Measurement And Efficiency
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Author : John B. Guerard, Jr.
language : en
Publisher: Springer
Release Date : 2016-09-23
Portfolio Construction Measurement And Efficiency written by John B. Guerard, Jr. and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-23 with Business & Economics categories.
This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.
The Economics Of The Modern Construction Sector
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Author : G. Ive
language : en
Publisher: Springer
Release Date : 2000-07-31
The Economics Of The Modern Construction Sector written by G. Ive and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-07-31 with Business & Economics categories.
This book will be of interest to built environment professionals and to students of the economics and management of the built environment. It shows the value of integrating ideas and data about the production of the built environment as an industrial process with theories and data about the demand for construction. The approach taken is institutional and post-Keynesian, and illuminates an important and distinctive sector of the economy, embracing design, construction and property industries. This book offers some new and important perspectives for research and teaching in construction economics and management.
Handbook Of Portfolio Construction
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Author : John B. Guerard, Jr.
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-12-12
Handbook Of Portfolio Construction written by John B. Guerard, Jr. and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-12 with Business & Economics categories.
Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
Securitized Insurance Risk
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Author : Michael Himick
language : en
Publisher: Routledge
Release Date : 2020-09-29
Securitized Insurance Risk written by Michael Himick and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-09-29 with Business & Economics categories.
Securitized Insurance Risk is one of the first books to focus exclusively on the convergence of the insurance and financial markets in risk management and the emergence of insurance risk as a non-correlated asset class. Written for insurers and investors alike, this book explores the opportunities available to forward-looking risk and investment managers. Chapters by prominent experts specifically address: the win-win principle behind securitizing insurance risk; current structures, including catastrophe bonds, structured notes, catastrophe options, and swaps; partnering financial market tools with traditional reinsurance programs; holding insurance risk, uncorrelated with stocks and bonds; pricing insurance risk instruments and evaluating basic risk; and regulatory and accounting concerns.
Insured Mortgage Portfolio
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Author : United States. Federal Housing Administration
language : en
Publisher:
Release Date : 1954
Insured Mortgage Portfolio written by United States. Federal Housing Administration and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1954 with Housing categories.
Insured Mortgage Portfolio
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Author :
language : en
Publisher:
Release Date : 1950
Insured Mortgage Portfolio written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1950 with Housing categories.
Innovations In Insurance Risk And Asset Management Proceedings Of The Innovations In Insurance Risk And Asset Management Conference
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Author : Kathrin Glau
language : en
Publisher: World Scientific
Release Date : 2018-09-14
Innovations In Insurance Risk And Asset Management Proceedings Of The Innovations In Insurance Risk And Asset Management Conference written by Kathrin Glau and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-14 with Business & Economics categories.
This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017.The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance.This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view.
Policy Issues In Insurance Risk Awareness Capital Markets And Catastrophic Risks
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Author : OECD
language : en
Publisher: OECD Publishing
Release Date : 2011-08-12
Policy Issues In Insurance Risk Awareness Capital Markets And Catastrophic Risks written by OECD and has been published by OECD Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-12 with categories.
Includes reports on initiatives to promote natural hazard awareness and disaster risk reduction education, the role of financial markets in financial mitigation of large-scale risks, mechanisms used to quantify catastrophe losses, and hazard risk mapping efforts in Southeast Asian countries.