Constructing Insurable Risk Portfolios offers a data-driven approach to devising risk retention programs that safeguard firms from a multitude of risks. Because firms face many risks, including fire damage to their buildings, liability from management misconduct, and external threats like cyberattacks, this book treats these potential liabilities as a "portfolio." Drawing inspiration from Markowitz portfolio theory, the text leverages techniques from probability, statistics, and optimization to build algorithms that construct optimal risk insurable portfolios under budget constraints.

Features

This book equips students, academics, and practitioners with quantitative tools to analyze real-world risk portfolios. Additionally, it empowers financial analysts to provide data-driven insights that enhance their advisory roles for risk managers.