Description: This article presents recent developments and trends with respect to Economic Capital based on the work of the EC subgroup of the SOA's Risk Management Task Force.

Description: This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation matrix and describes methods for estimating these quantities from simulated data. We show how these ideas can be put into practice as both computational shortcuts and presentation tools.