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Capital requirements and correlation

T

tojyouso

Member
Hi there,

I'm a bit confused with some of the terminology in the notes. When assessing capital requirements, is the max capital requirement the sum of the two

For example, let's take insurance risk and assume it's only made up of u/w and reserving risk

res risk 405
u/w risk 120​

If the sum of the two (525) the capital requirement if they are perfectly correlated or if they are independent?

Thanks in advance
 
When talking about capital modelling, summation of the two means perfectly correlated.
When talking about variance, summation of the two means independent
 
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