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Don Mango's Best Papers

The Concentration Charge: Reflecting Catastrophe Exposure Accumulation in Rates

So simple it appears to have baffled the world.  Should be industry standard practice.

An Application of Game Theory: Property Catastrophe Risk Load

A classic, on the syllabus (apologies)

Risk Load and the Default Rate of Surplus

First in the series that culminates in Capital Tranching.

Capital Consumption: An Alternative Methodology for Pricing Reinsurance

Second in the series.

A Risk Charge Calculation Based on Conditional 

With my pal David Ruhm, the source of "RMK"

Insurance Capital as a Shared Asset

A modern classic, on the Institute of Actuaries syllabus

Capital Tranching: A RAROC Approach to Assessing Reinsurance Cost Effectiveness

With my friends Avi Adler, John Major, and Claude Bunick.  Learn it, know it, live it.

Applying Actuarial Techniques in Operational Risk Modeling

A little known gem.

Other Interesting Papers

Riskiness Leverage Models

Rodney Kreps -- the "K" of RMK. Brilliant article.

How Psychological Pitfalls Generated the Global Financial Crisis

Hersh Shefrin, Santa Clara University.  Read anything he wrote but this is one of my absolute favorites because it addresses root causes.

Sending the Herd off the Cliff Edge

Avinash Persaud.  Subtitled "the disturbing interaction between herding and

market-sensitive risk management practices." Mandatory.

Perception of Risk

Paul Slovic.  Most useful six pages you will ever read.

The Back Room

Not for the faint of heart

© 2017 Innovensure Advisory Solutions LLC

donmango@innovensure.com


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