Research Projects
Research Projects in Risk Management
Economic Capital: Correlation Matrices and Other Techniques–A Survey and Discussion
The Society of Actuaries' Risk Management Research Team is pleased to make available the following report that explores risk aggregation techniques used by insurers. The report, authored by Matthew Clark and Chris Olechowski of Ernst & Young LLP, is based on a survey of insurers that investigated general economic capital methodologies and processes, risk aggregation techniques and respondent critiques of current methods.
The report can be accessed by clicking on the following link:
Economic Capital: Correlation Matrices and Other Techniques–Survey and Discussion
If you have any questions or comments regarding the report, please contact Steve Siegel, Research Actuary at ssiegel@soa.org.
The Risk Management Research Team would like to thank the members of the Project Oversight Group for their time and valuable input:
- Asutosh Chakrabarti
- Steven Craighead
- Ed Freeman
- David Hopewell
- Glenn Meyers
- Max Rudolph
- Fred Tavan
- Steven Siegel, Research Actuary–Society of Actuaries