Static Risk Measures in a Frequency-Severity Framework with Systematic Risk: Application in Reinsurance

Hirbod Assa

North American Actuarial Journal, 2025, vol. 29, issue 1, 94-118

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.

Date: 2025
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DOI: 10.1080/10920277.2024.2351050

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