Description: These two research reports, part of the Society of Actuaries [SOA} ‘Research Projects – Finance/Investment,’ are the result of a Call for Papers sponsored by the SOA Committee on Finance Research [CFR] on the topic of IntraCompany Capital Allocation. Both were awarded honoraria. The two are: ‘Measurement of Risk, Solvency Requirements and Allocation of Capital within Financial Conglomerates,’ which addresses the allocation of solvency capital in multi- line financial businesses and ‘Allocation of Required Capital by Line of Business,’ which demonstrates how the NAIC Risk-Based Capital [RBC] formula and others can be allocated by line of business by the use of partial derivatives of RBC.

Description: This paper will show how the NAIC formula and others can be allocated by line of business by the use of partial derivatives of RBC.

Description: In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: Full version of The Financial Reporter, Issue 49, April 2002.