University COVID-19 update

The University of Waterloo is constantly updating our most Frequently Asked Questions.

Questions about buildings and services? Visit the list of Modified Services.

Please note: The University of Waterloo is closed for all events until further notice.

Department seminar by Daniel Bauer, Georgia State UniversityExport this event to calendar

Thursday, November 3, 2016 — 4:00 PM EDT

The Marginal Cost of Risk, Capital Allocation, and RAROC in a Multi-Period Model

We extend the canonical model of a profit maximizing insurer beyond a single period and, in particular, incorporate opportunities to raise external financing in future periods. In this extended setting, we develop expressions for the marginal cost of risk, capital allocations, and RAROC directly analogous to those obtained from a single-period model, with two caveats. First, cash flow valuations reflect endogenous state weights that differ from market value weights due to the effective risk aversion of the company. Second, the “capital” that technically must be allocated is a broad conception of capital that includes untapped resources as well as the current equity of the firm. We illustrate our results using data from a catastrophe Reinsurer.

Location 
M3 - Mathematics 3
3127

,
Canada
Event tags 

S M T W T F S
28
29
30
31
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
1
  1. 2021 (46)
    1. October (1)
    2. September (2)
    3. May (4)
    4. April (8)
    5. March (13)
    6. February (7)
    7. January (12)
  2. 2020 (71)
    1. December (2)
    2. November (13)
    3. October (16)
    4. September (7)
    5. August (5)
    6. July (3)
    7. June (2)
    8. May (1)
    9. March (4)
    10. February (4)
    11. January (14)
  3. 2019 (65)
  4. 2018 (44)
  5. 2017 (55)
  6. 2016 (44)
  7. 2015 (38)
  8. 2014 (44)
  9. 2013 (46)
  10. 2012 (44)