Incorporating Systematic Risk Into The RMK Framework

Abstract
The RMK pricing algorithm provides a method for pricing insurance contracts or reinsurance deals. This paper discusses the incorporation of systematic, or non-diversifiable, risk into the RMK framework.
Volume
Winter
Page
495 - 502
Year
2006
Categories
Actuarial Applications and Methodologies
Capital Management
Capital Allocation
Publications
Casualty Actuarial Society E-Forum
Authors
Trent R Vaughn