Spectral Risk Measures and Applications in Insurance ERM

John Major and Stephen Mildenhall, ASTIN Special Interest Webinar, March 25, 2020

Slides

Topics

  • Why allocate capital?
  • Allocate cost of capital
  • Tranching capital
  • Distortion functions
  • Scenario-loss domain
  • Expected losses with limited liability
  • Equal priority
  • Expected loss by line with equal priority
  • Natural allocation
  • Four-line example

posted 2020-03-25 | tags: capital allocation, risk, pricing, insurance, ERM, presentations

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