How to Allocate Capital if You Really Must

presentations
Author

Stephen J. Mildenhall

Published

2020-05-13

How to Allocate Capital if You Really Must

John Major and Stephen Mildenhall, CAS Spring Meeting, May 13, 2020

Slides

Topics

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