Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2014 Update

• Published date: 01 March 2017
• DOI: http://doi.org/10.1111/rmir.12072
• Author: Martin Eling,Ruo Jia
• Date: 01 March 2017

Risk Management and Insurance Review

C

Risk Management and Insurance Review, 2017, Vol.20, No. 1, 63-77

DOI: 10.1111/rmir.12072

PERSPECTIVE

RECENT RESEARCH DEVELOPMENTS AFFECTING NONLIFE

INSURANCE—THE CAS RISK PREMIUM PROJECT

2014 UPDATE

Martin Eling

Ruo Jia

ABSTRACT

This article discusses the main results of the Casualty Actuarial Society Risk

Premium Project2014 update. It reviews the recent research developments in the

process of nonlife risk assessment. Of special note, systemic risk continuously

attracts a great deal of attention. In the past year, reinsurance studies have

increased significantly, driven by progress in optimal reinsurance design and

reinsurance asymmetric information. Both topics show the academic reflection

of financial crisis in the field of risk and insurance. The evaluation of reserves

and the methods mitigating asymmetric information have also received a great

deal of attention.

BACKGROUND

The Risk Premium Project (RPP) was initiated by the Committee on Theory of Risk

(COTOR)1of the Casualty Actuarial Society (CAS) in 1999. It aims to provide a structured

summary of and continuous updates on new insights into risk assessment in the field

of nonlife insurance. The RPP I Report (Cummins et al., 2000) was published in 2000. It

focused on the actuarial and finance literature between 1990 and 1999 and discussed how

risk pricing should reflect the systemic and nonsystemic risks present when discounting

future cash flow. The RPP II Report (Eling and Schmeiser, 2010) was published in 2010

Martin Eling is with the Institute of Insurance Economics, University of St. Gallen, St. Gallen,

Switzerland; e-mail: martin.eling@unisg.ch. Ruo Jia is with the Department of Risk Management

and Insurance, School of Economics, Peking University; e-mail: ruo.jia@pku.edu.cn. The authors

are grateful for all comments received, especially from the Committee on the Theory of Risk

(COTOR) of the Casualty Actuarial Society (CAS) and from the two anonymous refereesfrom the

Risk Management and Insurance Review. CAS’s financial support is gratefully acknowledged.

Special thanks go to Edward G. Bradford.

1COTOR is charged with developing and demonstrating the utility of specific applications of the

theory of risk to various lines of property and casualty insurance. It proposes, encourages, and

monitors research and other projects concerning the actuarial and financial evaluation of risk in

insurance contracts and operations in support of the CAS centennial goals.

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