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CAS Exam 9 Study Notes: Risk Measures and Capital Allocation
2019-04-27
I've uploaded my notes on risk measures and capital allocation. These cover learning objectives C6 through C9 of the syllabus. Four readings comprise these learning objectives: Capital Allocation by Percentile Layer by N. M. Bodoff, Solvency Measurement for Property-Liability Risk-Based Capital Applications by R. P. Butsic, Allocation of Captial in the Insurance Industry by J. D. Cummins, and Risk-Adjusted Performance Measurement for P and C Insurers by R. Goldfarb. The notes explain various methods for determining an overall capital requirement for an insurance company, methods for allocating the cost of capital among lines of business, and how to use this allocation to assess lines of business on a risk-adjusted basis and determine appropriate risk loadings for the rates.
Keywords: Actuarial Science, Study Note, Exam 9