Description: Capital allocation by percentile layer has important advantages over existing methods. It highlights a new formulation of value at risk and other capital standards, recognizes the capital usage of losses that do no extend into the tail and captures the disproportionate capital usage of severe losses. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: Property-casualty insurance companies tend to focus on avoiding and controlling their exposure to reinsurance credit risk. This paper advocates switching from this risk avoidance and compliance mentality to a probabilistic and market-based view in which one seeks to measure, hedge, exploit and optimize risk. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.