Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2013 Update

• Author: Martin Eling,Christian Biener,Shailee Pradhan
• Published date: 01 March 2015
• Date: 01 March 2015
• DOI: http://doi.org/10.1111/rmir.12034

Risk Management and Insurance Review

C

Risk Management and Insurance Review, 2015, Vol.18, No. 1, 129-141

DOI: 10.1111/rmir.12034

RECENT RESEARCH DEVELOPMENTS AFFECTING NONLIFE

INSURANCE—THE CAS RISK PREMIUM PROJECT 2013

UPDATE

Christian Biener

Martin Eling

Shailee Pradhan

ABSTRACT

This article reports the main results of the 2013 Risk Premium Project update, a

yearly review of actuarial and finance literature on the theory and empirics of

risk assessment for property–casualty insurance. The literature review reveals

a broad variety of topics, with a strong leaning toward catastrophe risk, market

efficiency,and new valuation techniques. Within the field of catastropherisk, the

role of weather and climate-relatedrisks for the insurance sector i s reviewedand

both the threats and the opportunities arising from the changing risk landscape

are discussed.

BACKGROUND

Initiated by the Committee on Theory of Risk of the Casualty Actuarial Society (CAS),

the Risk Premium Project (RPP) aims to provide a structured summary of new contribu-

tions, both theoretical and empirical, on risk assessment of property–casualty insurance

companies. The project began in 2000 with a review of the actuarial and finance research

conducted until then (RPP I; see Cummins et al., 2000). The growth of research in finance

and actuarial science led to a follow-up review of research between 2000 and 2010, cul-

minating in RPP II (see Eling and Schmeiser, 2010). Since then, RPP has issued annual

updates of the literature review and research findings (see Eling, 2013 and Biener and

Eling, 2013, for the 2011 and 2012 review), which are also summarized in a database

available at www.casact.org/rpp2.

The aim of this review is to describe the latest update, which was conducted between

November 2013 and March 2014 by researchers at the University of St. Gallen. A thor-

ough literature search was conducted to ensure that all relevant and newly published

Christian Biener,Martin Eling, and Shailee Pradhan are with the Institute of Insurance Economics

at the University of St. Gallen, Kirchlistrasse 2, Rosenbergstrasse 22, 9000 St. Gallen, Switzerland;

e-mail: martin.eling@unisg.ch. The authors are grateful for all comments received, especially by

the Committee on the Theory of Risk (COTOR) of the Casualty Actuarial Society. The financial

support of the Casualty Actuarial Society is also gratefully acknowledged. Special thanks go to

Edward G. Bradford.

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