New Capital Modeling CAS Monograph Delivers a Practical Framework for Risk, Pricing, and Capital Allocation
The Casualty Actuarial Society (CAS) is proud to announce the publication of Introduction to Capital Modeling and Portfolio Management by John A. Major and Stephen J. Mildenhall. This new monograph brings clarity, rigor, and practical insight to one of the most consequential areas of actuarial practice.
Commenting on the importance of the work, Brandon Smith, Editor-in-Chief of the CAS Monograph Editorial Board, said, “Capital modeling is often treated as a specialized subpractice, secondary to the core functions of pricing and reserving. While the theoretical link between portfolio capital and policy margin is well understood, the practical application often remains siloed: capital modelers focus on TVaR and tail events, while pricing actuaries often focus on expected losses grossed up by a constant profit margin.”
“Mildenhall and Major offer a consistent path forward,” he continued. “By leveraging Spectral Risk Measures, they provide a unified framework that seamlessly connects portfolio-level analyses to policy-level pricing. In this approach, ratemaking is no longer a detached exercise; it becomes a fundamental application of capital modeling, integrated alongside business planning, portfolio optimization, and reinsurance evaluation. Consequently, this monograph is an essential resource for practitioners working well beyond the traditional bounds of the capital modeling department.”
Introduction to Capital Modeling and Portfolio Management presents an integrated system that connects business operations, capital adequacy, pricing, and allocation. Rather than focusing on the technical minutiae of model maintenance or the specifics of Economic Scenario Generators, the authors center the discussion on strategic framework and organizational execution. The result is a guide on how to maximize business value from an agreed-upon capital model to drive better decision-making.
Written to stand alone yet grounded in the actuarial literature, this monograph is an essential resource for actuaries and risk professionals seeking to build, assess, or utilize capital models that meaningfully inform the business.
Introduction to Capital Modeling and Portfolio Management is part of the CAS Monograph Series, a growing body of works that underlie the foundations of actuarial practice and reflect the CAS’s ongoing commitment to advancing rigorous, forward-looking approaches to risk, capital, and financial management. As a global leader in property and casualty actuarial science, the CAS advances the profession through authoritative research, education, and practice-oriented guidance.
