  Financial undertakings often have to deal with liabilities of the form
'non-hedgeable claim size times value of a tradeable asset', e.g. foreign
property insurance claims times fx rates. Which strategy to invest in the
tradeable asset is risk minimal? We generalize the Gram-Charlier series for the
sum of two dependent random variable, which allows us to expand the capital
requirements based on value-at-risk and expected shortfall. We derive a stable
and fairly model independent approximation of the risk minimal asset allocation
in terms of the claim size distribution and the moments of asset return. The
results enable a correct and easy-to-implement modularization of capital
requirements into a market risk and a non-hedgeable risk component.
