Using replicating portfolios to calculate capital

Published in: Risk Models, Capital Models, Asset management, Expert papers

Companies: Barrie + Hibbert

In the previous article in this series (A primer in replicating portfolios), Adam Koursaris explored a set of useful principles for replication -- general facts that govern the use of replicating portfolios in asset-liability modelling. Now he examines practical aspects of RPs in insurance capital calculation.

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