Seminar: Allocating Capital Over Time: Introducing Credit Risk Migration to Measure Time-Dependent Risks

📅 Wednesday, May 13 • 8:30 AM – 10:00 AM • Online

▶️ In this new presentation, Michel Dacorogna will explore the challenge of time-dependent risk assessment. Traditional regulatory capital allocation frameworks for long-tail insurance risks do not require insurers to hold solvency capital at the outset of the process. However, this approach can underestimate the risk of a company's credit quality deteriorating before that capital actually becomes necessary, contradicting the principles of prudent risk management.

Conversely, many actuarial capital management strategies can be interpreted as an early allocation of capital, beyond regulatory requirements, with the risk of leading to an excessively conservative approach.

▶️ To address this dilemma, the work conducted by Michel Dacorogna in collaboration with Hansjoerg Albrecher proposes a framework for quantifying time-dependent risks by integrating exogenous credit risk migration and analyzing the financial consequences of its omission.

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