This paper gives a general formulation of systematic risk in a risk pool and studies its relation with principle of insurance (POI), its extension principle of pooling (POP), and valuation. We will see that the systematic risk is secure if and only if POP holds. We call this proposition the...

While the 2008 financial crisis brought systemic risk to the forefront of risk management research, the COVID-19 pandemic has further highlighted the importance of studying systematic risk. This study seeks to examine the anatomy of systematic risk of a pool in a theoretical framework. Our...