I've recently begun working as a quant for a large bank, and one of my first tasks will be to improve the model determining the risk exposure of their insurance portfolio. The portfolio is fairly diverse, and contains a number of types of insurance policies; life, accident, property, terrorism, auto, mortgage, and a number of others. The model I'm working with is used to estimate economic capital (EC) for the portfolio. Currently, the model is simply the worst-case scenario, which is grossly overestimating the EC required. I'm supposed to improve the model to (more) accurately predict what the exposure risk actually is.

I'm fairly new to the financial world (my background is modeling biological systems), so I'm curious (1) where I should search for published data on modeling insurance risk, and (2) whether anyone here is familiar with any specific approaches with which I should be familiar. I've found the Wharton financial institution, and I found a paper which seems to be a good starting point, but I'm looking for other resources.

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    $\begingroup$ Hi eykanal, thanks for choosing this site for your questions and good luck with your new job. Thank you for updating your question to reflect that you are looking to understand insurance risks, not investment risks. Unfortunately that's not something I know much about, but hopefully someone else here may know something. $\endgroup$ Dec 14, 2011 at 20:16
  • $\begingroup$ @TalFishman - Thanks! I've updated the question to try to address your comment, but in short, it's the risks from the insurance side. $\endgroup$
    – eykanal
    Dec 14, 2011 at 20:27
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    $\begingroup$ The infamous copula models used by the structured credit traders here in the world of finance were introduced to us by David Li, who had gotten them from the insurance industry. $\endgroup$
    – Brian B
    Dec 14, 2011 at 21:18

1 Answer 1


Barrie and Hibbert might provide some help - they have a reputation based on understanding insurance risks http://www.barrhibb.com/research_and_insights

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    $\begingroup$ Hi Tim, welcome to quant.SE and thanks for answering. Please consider registering to ensure you can access your account regardless of where you are. $\endgroup$ Dec 22, 2011 at 15:21

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