Saturday, December 12, 2009

GCCapital.com Survey of Capital Allocation Metrics

Insurers have choices in evaluating how to allocate capital and its cost. The ultimate goal is to strike a balance between feasibility (based on management acceptance and effort) and capital optimization. Eventually, most companies are likely to migrate towards contribution methods, along the lines of co-xTVaR and the shared asset approach, with thresholds varying with the specific questions being reviewed and specific corporate risk tolerances.

Part I: Introduction >>

Part II: Illustration >>

Part III: Standard Deviation >>

Part IV: Covariance >>

Part V: Co-xTVaR >>

Part VI: Shared Asset >>

Part VII: Comparison >>

Part VIII: Conclusion >>

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