Economic Capital: Correlation Matrices and Other Techniques

Submitted on 25th June 2015

The Society of Actuaries' Risk Management Research Team is pleased to make available the following report that explores risk aggregation techniques used by insurers. The report, authored by Matthew Clark and Chris Olechowski of Ernst & Young LLP, is based on a survey of insurers that investigated general economic capital methodologies and processes, risk aggregation techniques and respondent critiques of current methods

Source
Society of Actuaries (US)Ernst & Young LLP Insurance and Actuarial Advisory Services
Length of Resource
30 pages
Resource File
Author
Matthew Clark, Chris Olechowski
Date Published
Publication Type
paper
Resource Type
academic