A Practical Application of Modern Portfolio Theory to Capital Allocation

  title={A Practical Application of Modern Portfolio Theory to Capital Allocation},
  author={John M. Kulik},
This paper presents and evaluates a capital allocation method that represents a significant part of a more complete modeling process required to fully allocate and release capital for application to pricing or profitability analysis. The complete process is also described at a more general level, including discussion of additional requirements for application to reinsurance. While the specific modeling presented is based largely on concepts from modern portfolio theory, the paper first compares… CONTINUE READING


Publications referenced by this paper.

PCAS LXXXV (future edition

  • Venter, G Gary
  • ASTIN Bulletin,
  • 1998

Risk Loads for Insurers,

  • PCAS LXXXIV Feldblum, Sholom
  • PCAS LXXVII Feldblum, Sholom
  • 1990

“ Asset Pricing Models and Insurance Ratemaking ”

  • D’Arcy, P. Stephen
  • ASTIN Bulletin
  • 1990

Determining the Proper Interest Rate for Loss Reserve Discounting

  • LXXX Butsic, P Robert
  • 1988

Insurance Profits: Keeping Score,

  • edition Woll, G Richard
  • Financial Analysis of Insurance
  • 1987

Ratemaking: A Financial Economics Approach,

  • D’Arcy, P Stephen
  • Discussion of Ferguson
  • 1984

Duration,” PCAS LXX Gogol

  • Requirements, ” PCAS LXXXIII Ferguson, Ronald
  • PCAS LXXXIII Kreps, Rodney
  • 1983

“ Insurance in an Equilibrium Asset - Pricing Model

  • L. Andrew

Similar Papers

Loading similar papers…