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2nd Edition

Pricing in General Insurance



  • Available for pre-order on April 11, 2023. Item will ship after May 2, 2023
ISBN 9780367769031
May 2, 2023 Forthcoming by Chapman & Hall
624 Pages 218 B/W Illustrations

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Book Description

Based on the syllabus of the actuarial profession courses on general insurance pricing — with additional material inspired by the author’s own experience as a practitioner and lecturer — Pricing in General Insurance, Second Edition presents pricing as a formalised process that starts with collecting information about a particular policyholder or risk and ends with a commercially informed rate.

The first edition of the book proved very popular among students and practitioners with its pragmatic approach, informal style, and wide-ranging selection of topics, including:

  • Background and context for pricing
  • Process of experience rating, ranging from traditional approaches (burning cost analysis) to more modern approaches (stochastic modelling)
  • Exposure rating for both property and casualty products
  • Specialised techniques for personal lines (e.g., GLMs), reinsurance, and specific products such as credit risk and weather derivatives
  • General-purpose techniques such as credibility, multi-line pricing, and insurance optimisation

The second edition is a substantial update on the first edition, including:

  • New chapter on pricing models: their structure, development, calibration and maintenance
  • New chapter on rate change calculations and the pricing cycle
  • Substantially enhanced treatment of exposure rating, increased limit factors, burning cost analysis
  • Expanded treatment of triangle-free techniques for claim count development
  • Improved treatment of premium building and capital allocation
  • Expanded treatment of machine learning
  • Enriched treatment of rating factor selection, and the inclusion of generalised additive models

The book delivers a practical introduction to all aspects of general insurance pricing, and is aimed at students of general insurance and actuarial science as well as practitioners in the field. It is complemented by online material, such as spreadsheets which implement the techniques described in the book, solutions to problems, a glossary and other appendices – increasing the practical value of the book.

Table of Contents

1.The Pricing Process: A Gentle Start. 2. Insurance and Reinsurance Products. 3.The Cover Structure.4. The Insurance Markets. 5. Pricing in Context. 6. The Scientific Basis for Pricing: Risk Theory. 7. Familiarise Yourself with the Risk. 8. Data Requirements for Pricing. 9. Setting the Loss Inflation Assumptions. 10. Data Preparation. 11. Burning Cost Analysis. 12. What Is This Thing Called Modelling?. 13. Frequency Modeling: Adjusting for Claim Count IBNR. 14. Frequency Modelling: Selecting and Calibrating a Frequency Model. 15. Severity Modelling: Adjusting for IBNER and Other Factors. 16. Severity Modelling: Selecting and Calibrating a Severity Model. 17. Aggregate Loss Modelling. 18. Identifying, Measuring and Communicating Uncertanity. 19. Setting the Premium. 20. The Pricing Cycle and Rate Change Calculations. 21. Experience Rating for Non-Proportional Reinsurance. 22. Exposure Rating for Property. 23. Liability Rating Using Increased Limit Factor Curves. 24. Pricing Considerations for Specific Lines of Business. 25. Catastrophe Modelling. 26. Credibilty Theory. 27. Rating Factor Selection and Generalised Linear Modelling. 28. Multilevel Factors and Smoothing. 29. Pricing Multiple Lines of Business and Risks. 30. Insurance Structure Optimisation. 31. Insurance Structure Optimisation.

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Author(s)

Biography

Pietro Parodi has worked in general insurance pricing, since 2004. He is currently Head of Methods and Tools for SCOR Specialty Insurance, and since 2012 a part-time lecturer at Bayes (formerly Cass) Business School. He has previously worked at Willis, Aon Benfield and Swiss Re. He is a fellow of the Institute and Faculty of Actuaries in the UK.

In his previous professional incarnations, he was a network administrator/IT project manager and a research scientist in the fields of artificial intelligence and neuroscience. He has a MSc and a PhD in Physics from the University of Genoa, Italy. Prior to university, he studied as an electronics technician at St John Bosco’s secondary school in Genoa, where he could have developed some serious practical skills had his attention not been hijacked by the maths around Laplace transforms.

In 2012 he received the Brian Hey Award for his paper Triangle-free reserving, which he presented at GIRO.

He lives in East London with his wife and his four children.