# kaal:claim:3396542-027

**Claim.** Because each underwriter sizes capital against the risk of that underwriter's overall portfolio, and underwriting can be diversifying for a non traditional participant, the sum of the underwriters' incremental Values at Risk may be less than the Value at Risk of a single insurance firm writing the same contracts.

**Type.** mechanism  **Support.** argued

**Holds when.**

- underwriter capital set by overall portfolio risk
- especially for non traditional underwriters

**Source quote.**

> As a result, the sum of the incremental VaRs (Value at Risk amounts) of the individual underwriters may be less than the VaR of an insurance firm that has underwritten the same contracts.

**From.** Craig Calcaterra, Wulf A. Kaal, Vadhindran K. Rao, *Decentralized Underwriting* (2019), VI. Conclusion, page 25

**Cite as.** Craig Calcaterra, Wulf A. Kaal, Vadhindran K. Rao, Decentralized Underwriting (2019). SSRN: https://ssrn.com/abstract=3396542

**Verify.** sha256 of source PDF `ce2bda03a0b788ea3e7747f02c3c351ef7c808a41150d5cda34767bbe98800c0` at https://raw.githubusercontent.com/wulfkaal/Academic-Papers/main/papers/pdf/Calcaterra%20et%20al.%20-%202019%20-%20Decentralized%20Underwriting.pdf

**Topics.** risk-and-incentives, systemic-risk

**Keywords.** value-at-risk, diversification, capital-requirements, portfolio-risk

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