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Making the Case for Economic Risk Capital and Risk-Adjusted Performance Measurement Frameworks
reserves. The Commissioner's Annuity Reserve Valuation Method (CARVM) Making the Case for Economic ... asset/liability management (ALM), option and derivative valuation, funds transfer pricing, portfolio management ...- Authors: Hubert B Mueller, Jose Siberon, Kevin Reimer
- Date: Jun 2004
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital
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Bringing Risk into Capital Management
literally use commissioner's annual reserve valuation method (CARVM), you'd be doing stochastic on ... also recommend the so-called market-consistent valuation of options. By market-consistent, they mean that ...- Authors: Chiu-Cheng Chang, Alastair G Longley-Cook, Francis Sabatini, Geoffrey Hancock
- Date: May 2003
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital
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Economic Risk Capital: Part 1
bonds. That tends to be used when you do valuation models or best estimates. Increasingly, risk-neutral ... defensible way jumps from one section of this table to another periodically. It does a pretty good job ...- Authors: Hubert B Mueller, Application Administrator, Jose Siberon
- Date: May 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital