Abstract
The focus of this paper is on some new developments in the methodologies for enterprise risk management (ERM). The paper presents a set of new methods and tools, including (i) a universal risk measure tbr both assets and liabilities, (ii) a coherent method of determining the aggregate capital requirement for a firm, and (iii) a coherent method of allocating the cost of capital to individual business units. The discussed methods can be used for asset/loss portfolio optimization, and for quantifying the "'value creation" of ERM. The paper also discusses some correlation models and methods for risk aggregation.
Volume
Summer
Page
43-78
Year
2002
Categories
Actuarial Applications and Methodologies
Enterprise Risk Management
Processes
Analyzing/Quantifying Risks
Actuarial Applications and Methodologies
Capital Management
Capital Allocation
Actuarial Applications and Methodologies
Capital Management
Capital Requirements
Actuarial Applications and Methodologies
Enterprise Risk Management
Risk Categories
Financial and Statistical Methods
Aggregation Methods
Publications
Casualty Actuarial Society E-Forum
