EAA Web Session ‘Adding Value Through Risk Measurement: Capital Allocation & Beyond’

Participants will gain an in-depth understanding of two techniques for allocating aggregate capital to business units or individual risks that are valuable for risk assessment and business management.

Using R, we provide a practical case study on the (often challenging) estimation of gradient capital allocation and Orthogonal Convexity Scenarios using kernel estimation methods, providing in-depth guidance on how to apply the two methods in practice.
Anmeldeschluss: 2025-01-27
Link: https://actuarial-academy.com/seminars/seminar?No=E0475