Constructing Insurable Risk Portfolios offers a data-driven approach to devising risk retention programs that safeguard firms from a multitude of risks. Because firms face many risks, including fire damage to their buildings, liability from management misconduct, and external threats like cyber attacks, this book treats these potential liabilities as a "portfolio." Drawing inspiration from Markowitz portfolio theory, it leverages techniques from probability, statistics, and optimization to build algorithms that construct optimal risk insurable portfolios under budget constraints.

Features:

* Through engaging case studies and supporting statistical (R) code, readers will learn how to build optimal insurable risk portfolios.

* The book illustrates a frontier that depicts the trade-off between the uncertainty of a portfolio and the cost of risk transfer. This visual representation, mirroring familiar Markowitz investment tools, enables informed decision-making and easy adoption by risk advisors.

* The book lays the mathematical groundwork for constructing optimal insurable risk portfolios in an effective and aesthetically pleasing manner.

* For those interested in the detailed mathematical aspects of insurable risk portfolio optimization, comprehensive proofs and derivations are available in an online supplement.

This book equips students, academics, and practitioners with quantitative tools to analyze real-world risk portfolios. Additionally, it empowers financial analysts to provide data-driven insights that enhance their advisory roles for risk managers.

About the Author

Edward (Jed) Frees is an emeritus professor affiliated with the University of Wisconsin-Madison where he served as the Hickman Larson Chair of Actuarial Science. Until recently, he enjoyed a fractional research appointment with the Australian National University. He received his Ph.D. in mathematical statistics from the University of North Carolina at Chapel Hill. Professor Frees works at the intersection of data science and actuarial studies; he is a Fellow of the American Statistical Association and was a Fellow of the Society of Actuaries (SOA) (the only Fellow of both organizations).

Professor Frees has provided extensive service to the profession, including serving as the founding chairperson of the SOA Education and Research Section, a member of the SOA Board of Directors, a Trustee of the Actuarial Foundation, the Editor of the North American Actuarial Journal, and as an actuarial representative to the Social Security Advisory Board's Technical Panel on Methods and Assumptions. He has written three books, edited a two-volume series on Predictive Modeling Applications in Actuarial Science, and is editing an online, open source, book Loss Data Analytics.

Regarding his research, Professor Frees has published extensively and won several awards for his work. He has won the Society of Actuaries' Annual Prize for best paper published by the Society, the SOA's Ed Lew Award for research in modeling, the Casualty Actuarial Society's Hachmeister award, and the Halmstad Prize for best paper published in the actuarial literature (four times).

Book Information
ISBN 9781032745046
Author Edward W. Frees
Format Hardback
Page Count 400
Imprint Chapman & Hall/CRC
Publisher Taylor & Francis Ltd