Until recently, the importance of skewness in the rate of return distribution has been largely unrecognized in financial journals. The re-emergence of skewness in financial literature is particularly relevant to catastrophe insurance products where some of the most extremely skewed distributions occur. This paper presents an argument for including a provision in the equilibrium premium to cover the cost of skewness. It also generalizes the insurance CAPM to n moments. This extension permits explicitly determining the impact that skewness and other higher moments have on the needed premium.
Actuarial Applications and Methodologies
Financial and Statistical Methods
Proceedings of the Casualty Actuarial Society