Final Report of the CAS Research Project on Full Information Equity Betas for Property-Liability Insurance Including By-Line Estimates

The Risk Premium Project was organized in the Summer of 1999 to address the question of the equilibrium valuation of property and liability insurance risks as posed by the CAS's Committee on the Theory of Risk (COTOR). Phases I and II of the project were completed in April 2000 with a follow-up empirical Phase III. The goal of Phase III is to demonstrate the appropriateness of the pricing methodologies we discussed theoretically in Phases I and II and to develop procedures and parameterized models necessary to implement the methodologies empirically. A significant outcome of the research we propose will be the practical application of the results for use in the pricing and capital budgeting models currently being used by insurers.