Gee Lee
Department of Statistics and Probability, Michigan State University
Title: Multivariate insurance portfolio risk retention
Date: Friday, March 28th, 2025
Time: 1:30PM (PDT)
Location: ASB 10900
Abstract: In this talk, the insurance risk retention problem of determining the optimal retention parameters will be explored in a multivariate context. In this context, given an underlying claims distribution and premium constraint, the analyst is interested in finding the optimal amount of risk to retain or, equivalently, which level of risk retention parameters should be chosen by an insurance company. The risk retention parameter may be deductible (d), upper limit (u), or coinsurance (c). In the talk, the recommended approach to solving this risk retention problem will be a numerical one. The presenter will explain some challenges that may be encountered when using traditional optimization approaches and explain some possible ways they may be worked around. In a case study to be presented, the minimum amount of premium to be collected will be used as a constraint to the optimization, and the upper limit is optimized for each policyholder. The presenter will also share some future directions of research for the multivariate risk retention problem.