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Dr Vali Asimit is awarded the 2010 Fortis Chair Award

Dr Vali Asimit, a member of the Faculty of Actuarial Science and Insurance at Cass Business School, has been confirmed as the recipient of the 2010 Fortis Chair Award.

Dr Vali Asimit, a member of the Faculty of Actuarial Science and Insurance at Cass Business School, has been confirmed as the recipient of the 2010 Fortis Chair Award. It was awarded for the best Insurance: Mathematics and Economics (IME) journal paper which was written and presented by Dr Asimit at the 14 International Congress of IME in Toronto, Canada.

To qualify for the award Dr Asimit presented his paper entitled Asymptotics for Risk Capital Allocations based on Conditional Tail Expectation to a jury composed of three members of the editorial board of IME.

This annual congress was held from 17 to 19 June 2010, and the award was aimed at participants under the age of 36.

Dr Asimit, who joined Cass in January 2011, said, "A key problem in Enterprise Risk Management is the allocation of capital among different business components of a financial entity. Among the risk based capital allocations, Tail Conditional Expectation is widely accepted as the most common allocation. Our paper provides computational advantages in the process of quantifying individual capital shares. The simplicity of the proposed approach represents another advantage, and reflects the ease of implementation of the method."

Delighted with the success of his paper, Dr Asimit says, "I felt extremely rewarded. It is probably my greatest academic achievement so far." In the past, Dr Asimit has published and acted as a referee for international statistical and actuarial journalists.

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