2_x_strategy.rst

Strategy and Portfolio Management

Objectives: Use spectral risk measures to allocate total margin by unit.Application of the :class:`Portfolio` and and :class:`Distortion` classes to strategy and portfolio management, including margin (capital) allocation, determining benchmark pricing within a portfolio using alternative pricing methodologies, and the evaluation of reinsurance.

Audience: Planning and strategy, ERM, capital modeling, risk management actuaries.

Prerequisites: DecL, aggregate distributions, risk measures.

See also: :doc:`2_x_cat`, :doc:`2_x_capital`, :doc:`2_x_case_studies`.

Contents:

1. :ref:`Helpful References`
2. :ref:`strat margin alloc`

Helpful References

• :cite:t:`PIR` chapters 14 and 15 and references therein.

Margin Allocation Using Spectral Risk Measures

.. todo::

    Documentation to follow. In the meantime, see examples in :doc:`2_x_case_studies`.