Pricing Insurance Risk With Steve Mildenhall and John Major


episode page:

Why did I do this show?

This is important work and needs to be celebrated and I honestly can’t imagine any other media property than the Not Unreasonable Podcast that could give it proper treatment. Steve and John have achieved something tremendous here in capturing the latest theory and practice of pricing insurance.

What did I learn?

Ho, boy, a great many things in my studying for this. During the show I got the chance to really solidify my understanding of the concept of allocating margin vs allocating capital. Like all brilliant ideas it’s absurdly simple once you get it. For bonus marks I’ll go with Steve explaining Freddy Debean’s remarkable result for how to break a TVAR tie.

What was my favorite part?

There has been some incredible work by incredible researchers that will be used by actuaries for generations to come and we deliberately tried to work in the names of as many of these giants as we could. Insurance, oddly, has too little of a sense of its own intellectual pantheon. It exists! We should better celebrate the intellectual giants that support our work.

Some papers referenced:

Freddy Delbean!

The paper is *Coherent Risk Measures*

As distinct from *Coherent Measures of Risk* which is his top cited paper (and also a good one of course!)


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