A Fellowship Forums Wiki Community Post
Online Link to this Reading: https://www.casact.org/pubs/forum/12sumforum/Venter_Sahasrabuddhe.pdf
Topics Covered in this Reading:
What is Economic Capital?
What are the Benefits of Economic Capital Analysis?
How Can Economic Capital Analysis be Applies?
What Type of Risks Should be Considered?
How should Each of These Risks be Measures?
- VaR vs Tail-VaR
- Stochastic Analysis vs Stress Test
- Real Wold vs Risk Neutral
- Diversification Effect
- Time Horizon to Consider
- Whether to allow Negative Cumulative Surplus in the Middle of Time Horizon
- Whether to Account for Future New Business
What Modelling Decisions Should Inform the Analysis?
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