Capital Allocation: Challenges and Options. James Orr and Andreas Tsanakas. Contents of Talk. Introduction James Lloyd’s RBC “ “ Coherent Risk Measures Andreas Cooperative Games “ “ Capital Efficiency “ “ Dependency Structures “ “ Systemic Risk James
James Orr and Andreas Tsanakas
FAL = Min (MinFAL, RBC)
Expected Loss Cost
ELC = 0.0464p
Risk Code £ RC1 X ... ... ... ...
Syndicate Business Plans
Syndicate £Synd1 X ... ... ... ...
to the Expected Loss Cost per unit of net premium/reserve
100 + RBCGamma Distribution and ELC
p(x;,) = x -1e-x/()
Xm: Claims for member’s m portfolio Km: Total capital for member m Rm: Risk contribution for member m (proportional to capacity)