A Practical Application of Modern Portfolio Theory to Capital Allocation

@inproceedings{Kulik1999APA,
  title={A Practical Application of Modern Portfolio Theory to Capital Allocation},
  author={John M. Kulik},
  year={1999}
}
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

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