Description: This is a presentation from 39th Actuarial Research Conference, 8/5-7/2004, University of Iowa in Iowa City, Iowa. The aim of this paper is to consider economic capital for a multi-line insurer and the fair allocation to lines of business. In addition, this paper also allows for a model with assets, liabilities and insolvency exchange option fairly priced, complete markets and no market frictions.

Description: Panelists discuss economic capital, capital modeling, and hedge modeling, especially for guaranteed living benefits [GLBs] on variable annuities. Session 34PD of the 2005 Valuation Actuary Symposium.