What structure involves a single parent company insuring its own risks and those of its affiliates?

The correct choice is a Captive. A captive insurance company is specifically designed to insure the risks of its parent company and its affiliates. This structure allows the parent company to retain more control over its insurance needs, customize coverage according to the specific risks faced by the organization, and potentially reduce overall insurance costs.

Captives are established to provide insurance that may be challenging to obtain in the traditional insurance market, and they can also help manage risk more effectively by providing tailored coverage. By insuring its own risks and those of its affiliates, a captive enables a company to have a more direct influence over its insurance policies and related expenses.

In contrast, other structures like Risk Retention Groups, Insurer Consortiums, and Risk Purchasing Groups serve different purposes or constituencies, such as allowing multiple entities to pool resources or capabilities, rather than focusing on a single parent company managing its own risks.