Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2012 Update

• Date: 01 September 2013
• DOI: http://doi.org/10.1111/rmir.12015
• Published date: 01 September 2013
• Author: Martin Eling,Christian Biener

Risk Management and Insurance Review

C

Risk Management and Insurance Review, 2013, Vol.16, No. 2, 219-231

DOI: 10.1111/rmir.12015

PERSPECTIVES

RECENT RESEARCH DEVELOPMENTS AFFECTING NONLIFE

INSURANCE—THE CAS RISK PREMIUM PROJECT 2012

UPDATE

Christian Biener

Martin Eling

ABSTRACT

This article reports the main results of the 2012 Risk Premium Project update,

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

of risk assessment for property–casualty insurance. Pricing and modeling in-

surance risks and methodological advancement in risk valuation were popular

fields of research in 2012. Of special note is new work on behavioral pricing

and liquidity. Additionally, underwriting cycles attracted some controversy,

and emerging risks, such as systemic risk and potential interrelations between

insurance and other financial markets, were also areas of intense discussion.

BACKGROUND

The aim of the Risk Premium Project (RPP) is to provide a structured summary of the

main theoretical and empirical results on risk assessment of property–casualty insurance

companies. The project was initiated by the Committee on Theory of Risk (COTOR) of

the Casualty Actuarial Society (CAS) in 2000 with a review of actuarial and finance

research conducted up to that point in time (RPP I; see Cummins et al., 2000). Due

to the vast development of research in both finance and actuarial science, RPP II was

conducted to review the research from 2000 to 2010 (Eling and Schmeiser, 2010). Since

then, yearly updates of the literature review have been provided (see Eling, 2013, for

the 2011 review). Moreover, a database summarizing all research findings is provided

online at www.casact.org/rpp2.

This work reports the results of the 2012 update and summarizes the main findings from

publications added to the database. The core elements of the update process included

(1) updating the literature collection and (2) writing the update report. The bibliogra-

phy update involved the addition of newly published work and was conducted from

Christian Biener and Martin Eling are both with the Institute of Insurance Economics, University

of St. Gallen, Kirchlistrasse 2, 9010 St. Gallen, Switzerland. Martin Eling can be reached by e-mail

at 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 (CAS). The financial

support of the CAS is also gratefully acknowledged. Special thanks go to Richard Derrig. This

article was subject to double-blind peer review.

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