A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited

Sponsored by the Society of Actuaries Research Expanding Boundaries Pool, this report examines an encompassing method to allocating economic capital in insurance conglomerates. Authored by Edward Furman, Yisub Kye, and Jianxi Su, the plan put forth unifies the centralized top-down and the detail-oriented bottom-up approaches.

Report

A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited

Thank You

The sponsor would like to thank the following individuals for their input and review:

Brian Campbell, Chairperson

Jim Berger

Jim Bridgeman

Ngoc Le

Questions Or Comments?

If you have comments or questions, please send an email to research@soa.org.