Michel Dacorogna: Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks

V četrtek, 19. 2. 2026, ob 14:15 bo v predavalnici 3.06 v okviru seminarja VeSFiM potekalo predavanje Michela Dacorogne (Prime Re Solutions, Zug, Switzerland) z naslovom Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks.

Povzetek: In this talk, we explore the challenge of assessing time-related risk. Traditional regulatory frameworks for capital allocation in long-tailed insurance risks do not require insurers to hold solvency capital early in the process. However, this approach may underestimate the risk of a company’s credit deterioration before the capital is actually needed, contradicting prudent risk management principles that advocate allocating capital as soon as a risk is recognized. In contrast, many real-world actuarial capital management strategies can often be interpreted as implicitly allocating that capital earlier than demanded, which could be too conservative. To solve this dilemma, we introduce a framework for quantifying time-dependent risks, incorporating exogenous credit migration risk and analyzing the financial consequences of neglecting it. A key advantage of our approach is that it eliminates the need for Monte Carlo simulations in multistep scenarios, which are computationally impractical. Using this framework, we evaluate six different capital allocation strategies, accounting for the costs associated with potential insolvency before the settlement of long-term claims. Finally, we outline the practical considerations for implementing this approach in the context of heavy-tailed insurance risks anticipated in the future.

Work done in collaboration with Hansj¨org Albrecher.

Predavanje bo potekalo v živo.

Vljudno vabljeni!