Risk Based Capital Covariance ProjectBibliography

The Risk Management Section is pleased to make available the results of a research project that explored the covariance and correlation among various insurance and non–insurance risks in the context of risk based capital. The project was particularly focused on the correlations of these risks under extreme conditions or as is sometimes termed "in the tail of the distribution." The research was conducted by Don Behan and Sam Cox of Georgia State University. 

The first phase of the project was a literature review to determine what work has already been done in this area and might be beneficial for the project. The completed literature search, in bibliography form, can be found at the following link