PROCEEDINGS May 15, 16, 17, 18, 2005 - Casualty Actuarial Society

RISKINESS LEVERAGE MODELS 57Mean Value and Allocation Percentages% Total Line A Line B Investment0.1 (8,892,557) 13.51% 84.01% 2.48%0.2 (7,969,738) 13.41% 84.74% 1.85%0.4 (7,021,936) 15.32% 83.22% 1.46%1 (5,746,279) 13.94% 84.18% 1.88%2 (4,731,425) 14.20% 83.43% 2.38%5 (3,308,824) 13.38% 83.64% 2.98%10 (2,143,340) 11.16% 88.07% 0.76%The downside power measure simulation results are:Mean Values ˆ(1=(N + 1)) and Allocations from SimulationPower Total Line A Line B Investment0 2,183,834 22.44% 65.52% 12.04%1 2,839,130 20.63% 69.79% 9.58%2 3,424,465 19.42% 72.30% 8.28%3 3,985,058 18.35% 74.30% 7.35%4 4,510,337 17.43% 75.97% 6.60%5 5,018,663 16.55% 77.45% 6.00%6 5,514,616 15.69% 78.79% 5.51%As the power increases and the measure is increasingly sensitiveto the extreme values, the allocations move toward the TVARallocations. This is probably not surprising.