Description: This paper addresses the allocation of solvency capital in multi- line financial businesses. Although this paper is uniformly applicable to financial enterprises of all types, the terminology in the paper is mainly that of insurance. The TailVaR risk measure is extended in a natural way to allocating capital to each of the business units. This method of allocation allocates capital in a way that is invariant over the method of decomposing the enterprise into business units. Analytic results are derived in the case of multivariate Normal risks. The key result of this paper is that the TailVaR-based proportional allocation of total required capital is identical to that based on mean-variance considerations analogous to the CAPM in the case of the multivariate Normaldistribution.

Description: Discussion of Eastern Europe and the former Soviet Union: Opportunities and problems for the actuarial profession and the industries it serves. The panel explored for each country: • The background and current economic situation of each country • Trends in governmental programs • Expansion of insurance markets • Development of employee benefit programs • Building the actuarial profession: education and research

Description: This session from the 2003 SOA Orlando Meeting covers insolvencies of insurance companies in the U.S., developments within the IAA with respect to solvency assessment and risk measurement. From the Record of the Society of Actuaries, Volume 29, No. 3.

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 article discusses value at risk, VaR, and VaR modeling of the bank's portfolios that would recognize diversity and hedging. This article also covers the differences between classical VaR and the longer horizons required by the insurance industry and the feasibility of extending VaR to the insurance industry.

Description: This session at the SOA 1990 Annual Meeting explores the status and impact of AIDS in the U.S., Canada and elsewhere in the world.

Description: This statement is an expression of opinion by the Committee on Actuarial Principles regarding the identification of actuarial principles to be considered for adoption by SOA membership. This covers the following types of principles: statistical, economic and financial, modeling, risk management.

Description: This panel discussion session focused on the practical applications of risk theory.

Description: This paper considers the distribution of aggregate claims of an insurer. The general form of the distribution is considered initially, and, after a few mild restrictions are imposed, it is characterized as being a compound distribution. Followed by one submitted discussion paper.

Description: This paper analyzed the deficit risk that an insurer assumes when a group insurance contract is subject to a retrospective experience-rating arrangement. In this paper, a method for quantifying the deficit risk and determining explicitly an appropriate risk charge level is developed.