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:
2.9.2. Conditional Expectation as a Risk Management and Visualization Device
Todo
Documentation to follow. In the meantime, see examples in Case Studies.