We describe two procedures that assist insurance firms in determining shareholders' risk tolerance thresholds and in using such thresholds within the decision-making process. The first procedure is based on parsimonious measures of the risk/return tradeoff such as the Sharpe Ratio; the second procedure makes a direct use of expected utility theory.
Risk tolerance levels for insurance companies
TOLOTTI, Marco
2009
Abstract
We describe two procedures that assist insurance firms in determining shareholders' risk tolerance thresholds and in using such thresholds within the decision-making process. The first procedure is based on parsimonious measures of the risk/return tradeoff such as the Sharpe Ratio; the second procedure makes a direct use of expected utility theory.
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