Description: This abstract describes a paper that reverses the sequence of the Euler (or gradient) allocation technique by calculating the marginal costs of risk exposures for a profit maximizing financial institution with risk averse counterparties, and then identifying a closed-form solution for the risk measure whose gradient delivers the correct marginal costs.

Description: This report examines the subprime mortgage crisis and related financial consequences from the perspective of the insurance company.

Description: This research report, part of the Society of Actuaries [SOA} ‘Research Projects – Finance/Investment,’ is sponsored by the Casualty Actuarial Society [CAS], Canadian Institute of Actuaries [CIA], and the Society of Actuaries [SOA] Joint Risk Management Section Research Team and the SOA's Committee on Finance Research. This paper examines the subprime mortgage crises and related financial consequences from the perspective of the insurance industry.