In this paper we discuss the use of modern data mining (DM) methods to design risk-based insurance premiums for motor vehicles. Our objective is to predict the likelihood and expected value of future claims for each insured based on a myriad of attributes available in the database on the...

This paper considers the pricing of contingent claims using an approach developed and used in insurance pricing. The approach is of interest and significance because of the increased integration of insurance and financial markets and also because insurance-related risks are trading in financial...

The Lloyd's 2007 Survey of Underwriters states that "for the third year running, managing the cycle emerged as the most important challenge for the industry, by some margin"". The contention is of course that underwriting cycles exist in property and casualty insurance and are economically...

This paper compares the shareholder-value-maximizing capital structure and pricing policy of insurance groups against that of stand-alone insurers. Groups can utilise intra-group risk diversification by means of capital and risk transfer instruments. We show that using these instruments enables...

Risk classification refers to the use of observable characteristics by insurers to group individuals with similar expected claims, compute the corresponding premiums, and thereby reduce asymmetric information. An efficient risk classification system generates premiums that fully reflect the...

This paper examines a class of premium principles which are (i) comonotonic additive and (ii) preserving stochastic dominance. The representation for this class is a transform on the decumulative distribution function. It has close connections with the recent developments in economic decision...

We are proposing a parametric model to rate insurance for vehicles belonging to a fleet. The tables of premiums presented take into account past vehicle accidents, observable characteristics of the vehicles and fleets, and violations of the road-safety code committed by drivers and carriers. The...

In analogy with standard derivation of Tsallis factor in non extensive statistical mechanics, we find the wealth distribution for an economic agent in a conservative exchange market. Tsallis entropic index distinguish between two different regimes, the large and small size market. The Pareto...

Testing whether risk professionals (here insurers) behave differently under risk and ambiguity when they cover catastrophic risks (floods and earthquakes) and non-catastrophic risks (fires), this paper reports the results of the first field experiment in the United States designed to distinguish...