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
Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.
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)