New Research from Our Expert Michel Dacorogna on Time-Related Risk Measurement

We are pleased to share a new publication by our expert Michel Dacorogna, coauthored with Professor Hansjörg Albrecher, titled: “Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks” now freely available on the website of the Scandinavian Actuarial Journal (SAJ).

This paper tackles a long-standing challenge in risk management: how to allocate capital to risks that unfold over time. By introducing credit migration as a tool to capture the evolving cost of capital, the authors provide two major innovations: a quantifiable framework for the “risk of time” and an analytical formula to value long-term insurance liabilities accordingly.

The paper is already receiving strong attention in the field, it has already been downloaded 65 times on the SAJ website since it appears last week and more than 100 times on SSRN with almost 500 views. This growing interest reflects the relevance of this approach to real-world actuarial applications.

Michel will present this work as a keynote speaker at the UNISActuarial School 2025 in Salerno at the end of June.