Abstract
We present and discuss an insurance version of the classical Capital Asset Pricing Model that offers economic pricing and risk capital allocation rules for a large class of risks, including those that are non- symmetric and heavy tailed. A number of illustrative examples are given, and convenient computational formulas suggested.
Keywords: capital asset pricing model, weighted insurance pricing model, Gini-type insurance pricing model, beta, Gini correlation
Volume
Spring
Page
1-12
Year
2017
Categories
Actuarial Applications and Methodologies
Capital Management
Capital Allocation
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Publications
Casualty Actuarial Society E-Forum
