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The Risk Premium Project (RPP)
Phase I and II Report

Academic Investigators

J. David Cummins, Ph.D., University of Pennsylvania
Richard D. Phillips, Ph.D., Georgia State University

Industry Investigators

Robert P. Butsic, MBA, ASA, MAAA, Fireman's Fund Insurance Company
Richard A. Derrig, Ph.D., Automobile Insurers Bureau of Massachusetts


This report summarizes the authors' review of the actuarial and finance literature on the subject of risk adjustments for discounting liabilities in property-liability insurance. The authors find that the actuarial and financial views of risk priced in the market are converging: systematic, or non-diversifiable, risk still plays a central role in equilibrium pricing, but non-systematic costs arising from market frictions such as taxes and financial risk management also contribute to market valuations. Recent advances in risk assessment and capital allocation techniques are noted.


The RPP authors acknowledge the financial support of the Casualty Actuarial Society and the Actuarial Education Research Fund, the helpful discussions and comments by members of the Committee on the Theory of Risk, and the production support for this report, the bibliographic database, and Web site development by the Automobile Insurers Bureau staff, especially Eilish Browne.

Click the titles below to download the Report:
The Risk Premium Project (RPP) Phase I and II Report
Appendix A
Appendix B

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