CAS Research Working Party on Risk-Based Capital Dependencies and Calibration Report 1: Overview of Dependencies and Calibration in the RBC Formula

Submitted on 25th June 2015

At the request of the American Academy of Actuaries, the CAS formed the Risk Based Capital (RBC) Dependencies and Calibration Working Party (DCWP) to research how to handle dependencies and calibration in the NAIC P&C RBC formula (RBC or RBC formula), including the extent to which risk diversification should be reflected in the P&C formula.


The research identified a number of gaps in the current RBC formula. This paper presents results of the DCWP’s work to date. DCWP research will continue and the results will be presented in a series of reports

Casualty Actuarial Society
Length of Resource
43 pages
Resource File
RBC Dependencies and Calibration Working Party (DCWP)
Publication Type
Resource Type