The Application of “Riskiness” on Insurance Pricing

• Main Authors: Hsiao-Ting Fu, 傅曉婷
• Other Authors: 曾郁仁
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/24590731283405331304

碩士 === 國立臺灣大學 === 財務金融學研究所 === 100 === The new risk index proposed in Journal of Political Economy by Robert J. Aumann and Roberto Serrano in 2008－Riskiness, which has better economic and mathematical properties than commonly used indicators of risk such as variance, standard deviation or value at risk (VaR) because it only takes the gamble’s return into account and be independent from the risk preference of investors. Thus we can measure the risk objectively through it. In addition, the character of monotonicity with respect to stochastic dominance and putting more emphasis on loss bring more convenience in practical use. In this paper, I applied the risk index Riskiness to insurance contract design to see how an insurance company can minimize its risk under fixed premium income.