Purpose – The purpose of this paper is to illustrate how risk capital can be calculated and allocated in a multi-year context. This is an important issue, since strategic management and decision making within insurance companies require a multi-year time horizon (instead of a one-year time...

Purpose – The purpose of this paper is to illustrate how risk capital can be calculated and allocated in a multi‐year context. This is an important issue, since strategic management and decision making within insurance companies require a multi‐year time horizon (instead of a one‐year...