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.

Forgot your password?

To access the premium content on InsuranceERM, you must first sign in to your account

Not registered? Take a free no obligation one-month trial.