통계연구소에서는 다음과 같이 통계 세미나를 개최하오니 많은 참여 바랍니다.
일시: 2011년 6월 1일(수) 오후 5시
장소: 고려대학교 정경관 501호
연사: Joseph H. T. Kim
(Assistant Professor, PhD, FSA, CERA
Dept. of Statsitics and Actuarial Science, University of Waterloo)
Visualizing and optimizing risk contribution and performance within an insurance loss portfolio
<Abstract>
For financial conglomerates allocating a given risk measure (capital) to each risk unit is a popular exercise in internal risk management. In this article I propose several graphs that can visualize the allocated capitals, line-wise performances, and diversification benefit within a multi-line insurer, focusing on the conditional tail expectation (CTE) as a preferred risk measure. Later we show how to construct the portfolio with an optimal RORAC performance, using the CTE optimization. An illustrative example will be presented using the multiline insurer data of Panjer(2000).