2.9. Capital Modeling and Risk Management

Objectives: Application of the Portfolio class to capital modeling, including VaR, TVaR, and risk visualization and quantification. Covers material on CAS Part 9.

Audience: ERM, capital modeling, risk management actuaries.

Prerequisites: DecL, aggregate distributions, risk measures.

See also: Catastrophe Modeling, Strategy and Portfolio Management, Case Studies.

Contents:

  1. Helpful References

  2. Conditional Expectation as a Risk Management and Visualization Device

2.9.1. Helpful References

  • Mildenhall and Major [2022], especially chapter 14.

2.9.2. Conditional Expectation as a Risk Management and Visualization Device

Todo

Documentation to follow. In the meantime, see examples in Case Studies.