Introduction to Capital Modeling and Portfolio Management
By John A. Major and Stephen J. Mildenhall
Introduction to Capital Modeling and Portfolio Management is a comprehensive guide to building, understanding, and applying capital models in property-casualty insurance. Written by John A. Major and Stephen J. Mildenhall, this monograph presents a unified framework integrating pricing, reinsurance strategy, capital adequacy, performance measurement, and portfolio optimization.
The monograph covers the following topics:
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Business Operations
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Capital Adequacy&Sources of risk
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Pricing& Allocation
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Spectral Risk Measures
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Capital Model evaluation
A central contribution of the work is its treatment of pricing and allocation using Spectral Risk Measures and the Natural Allocation. By examining the limitations of the industry standard practices, Major and Mildenhall offer a coherent and consistent way. Detailed examples, algorithms, and discussions of model evaluation help readers translate theory into practice.
Additionally, the monograph provides worked examples using the Python library aggregate, also written by Mildenhall.
Designed to stand alone while remaining firmly grounded in the actuarial literature, Introduction to Capital Modeling and Portfolio Management is an essential resource for actuaries and risk professionals seeking to design, evaluate, or utilize capital models that meaningfully support insurance decision-making.
About the Authors
John A. Major has served as a research leader and data scientist in diverse insurance contexts, contributing to the state of the art in areas such as claim fraud detection, insurance linked securities, terrorism risk, and catastrophe modeling. His publications in over a dozen books and journals have been cited in hundreds of scholarly articles. He is an Associate of the Society of Actuaries and holds a master’s degree in mathematics from Harvard University.
Stephen J. Mildenhall has extensive general insurance experience, having worked in primary and reinsurance pricing, broking, and education since 1992. He is a Fellow of the Casualty Actuarial Society, an Associate of the Society of Actuaries, and holds a PhD degree in mathematics from the University of Chicago.
ISBN 978-1-7370028-9-5
This monograph is currently available to all CAS members as a free download. The CAS Monograph Series showcases CAS members' extensive specialized expertise, helping to raise the performance standard for property and casualty actuaries through insightful research. The monographs represent just one way that the CAS provides its members with access to relevant information,research and resources that they can apply directly on the job to advance in their careers. For information on submitting a monograph, visit the Monograph Submission Guidelines page.
