Managing a portfolio of risks

Annamaria Olivieri () and Ermanno Pitacco ()
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Annamaria Olivieri: Università di Parma, Dipartimento di Economia
Ermanno Pitacco: Università di Trieste, Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche

Chapter Chapter 2 in Introduction to Insurance Mathematics, 2011, pp 69-140 from Springer

Abstract: Abstract Basic ideas concerning risk pooling and risk transfer, presented in Chap. 1, are progressed further in the present Chapter, mainly with the following purposes: 1. to discuss key features of premium calculation when non-homogeneous portfolios are concerned, namely portfolios consisting of risks with various claim probabilities; 2. to analyze, more deeply, the riskiness of a portfolio and the tools which can be used to face potential losses, in particular introducing the role of the shareholders’ capital; 3. to illustrate the possibility, for an insurance company, to transfer, in its turn, risk of losses to another insurer, namely the possibility to resort to reinsurance; 4. to address dynamic aspects of the management of insurance portfolios. As we will see, the actions undertaken by an insurer in order to deal with potential losses (see points 1 and 3 above) constitute important examples of risk management actions, in the specific framework of insurance risk management.

Keywords: Premium Rate; Capital Allocation; Total Payment; Portfolio Size; Premium Income (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-16029-5_2

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DOI: 10.1007/978-3-642-16029-5_2

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