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Risk-Based Capital Dependencies and Calibration Working Party

By Jess Broussard, Robert Butsic, Joe Cofield, Allan Kaufman (chair, James Mcnichols, Glenn Meyers, David Ruhm, Ji Yao, Christina Zhou, Cas Staff, David Core and Dan Murphy


Abstract At the request of the American Academy of Actuaries, the CAS formed the Risk Based Capital (RBC) Dependencies and Calibration Working Party (DCWP) to research how to handle dependencies and calibration in the NAIC P&C RBC formula (RBC or RBC formula), including the extent to which risk diversification should be reflected in the P&C formula. The research identified a number of gaps in the current RBC formula. This paper presents results of the DCWP’s work to date. DCWP research will continue and the results will be presented in a series of reports

Topics: Casualty Actuarial Society E-Forum, Winter 2012-Volume 1 1CAS Risk Based Capital – Dependencies and Calibration Working Party—Initial Re
Year: 2013
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