Spectral Risk Measures and Applications in Insurance ERM

presentations
Author

Stephen J. Mildenhall

Published

2020-03-25

Spectral Risk Measures and Applications in Insurance ERM

John Major and Stephen Mildenhall, ASTIN Special Interest Webinar, March 25, 2020

Slides

Topics

  • Why allocate capital?
  • Allocate cost of capital
  • Tranching capital
  • Distortion functions
  • Scenario-loss domain
  • Expected losses with limited liability
  • Equal priority
  • Expected loss by line with equal priority
  • Natural allocation
  • Four-line example