2.10. Strategy and Portfolio Management

Objectives: Use spectral risk measures to allocate total margin by unit.Application of the Portfolio and and Distortion classes to strategy and portfolio management, including margin (capital) allocation, determining benchmark pricing within a portfolio using alternative pricing methodologies, and the evaluation of reinsurance.

Audience: Planning and strategy, ERM, capital modeling, risk management actuaries.

Prerequisites: DecL, aggregate distributions, risk measures.

See also: Catastrophe Modeling, Capital Modeling and Risk Management, Case Studies.

Contents:

1. Helpful References

2. Two Shortcomings

2.10.1. Helpful References

• Mildenhall and Major [2022] chapters 14 and 15 and references therein.

2.10.2. Margin Allocation Using Spectral Risk Measures

Todo

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