| David Congram curriculum | ||||||||||||
| Canada | ||||||||||||
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| Date: Tuesday, March 19 |
Session: 54 |
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General Insurance |
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Summary This paper addresses the allocation of solvency capital in multi-line financial businesses. Although this paper is uniformely applicable to financial enterprises of all types, the terminology in the paper is mainly that of insurance. The TailVaR risk measure is extended in a natural way to allocating capital to each of the business units. This method of allocation allocates capital in a way that is invariant over the method of decomposing the enterprise into business units. Analytic results are derived in the case of multivariate Normal risks. The key result of this paper is that the TailVaR-based proportional allocation of total required capital is identical to that based on mean-variance considerations analogous to the CAPM in the case of the multivariate Normal distribution. The allocation methodology results are then applied to a real bancassurance portfolio of 10 lines of business to illustrate the various concepts discussed in the paper. |
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| David Congram | ||||||||||||
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| Curriculum | ||||||||||||
| Nationality: Canadian Education: 1967 Fellow of the Institute of Actuaries (UK) 1968 Fellow of the Canadian Institute of Actuaries 1968 Associate of the Society of Actuaries Work experience: 1999-2001 Ernst & Young Canadian International Actuarial Practice Partner 1994-1999 Ernst & Young Toronto Actuarial Practice Partner 1989-1994 Senior Vice President Group & Pensions Aetna Canada 1984-1989 Vice President and Corporate Actuary Aetna Canada (Life and Non Life) 1967-1984 Various functions with Aetna Canada 1961-1967 Legal and General Assurance Society Limited Professional: 2002- Member of IAA Subcommittee on Actuarial Standards 1997-98 Vice President for the Canadian Institute of Actuaries 1993-97 Canadian Institute of Actuaries Committee on Adoption of Standards of Practice 1993-95 Canadian Institute of Actuaries Committee on Strategic Investments 1990-93 Member of Council for the Canadian Institute of Actuaries |
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