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Economic Capital: A Case Study To Analyze Longevity Risk
Economic Capital: A Case Study To Analyze Longevity Risk Feature article discussing how insurers have reflected ... requirements, but have largely disregarded the impact of mortality volatility on their liability assumptions when ...- Authors: Stuart Silverman
- Date: Aug 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Stochastic models
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Making the Case for Economic Risk Capital and Risk-Adjusted Performance Measurement Frameworks
Making the Case for Economic Risk Capital and Risk-Adjusted Performance Measurement Frameworks A number ... number of insurance companies have recently implemented, or are in the process of implementing, economic ...- 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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Arbitrage-Free Perspective On Economic Capital Calibration
Arbitrage-Free Perspective On Economic Capital Calibration The selection of the economic capital calculation ... approach becomes more of a modeling decision. Now let us pause here and think about the arbitrage-free assumption ...- Date: Mar 2012
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>External forces and business performance; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: The Financial Reporter
- Topics: Enterprise Risk Management>Financial management; Enterprise Risk Management>Risk appetite; Finance & Investments>Economic capital; Financial Reporting & Accounting>International Financial Reporting Standards [IFRS]
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Using Trading Costs to Construct Better Replicating Portfolios
Replicating Portfolios Regularization, by means of trading restrictions, is an effective way to obtain ... portfolios. By including only the most relevant replicating instruments, the resulting portfolio is more ...- Authors: Curt Burmeister, Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Economic capital
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Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value
Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value This is a presentation ... Conference, 8/5-7/2004, University of Iowa in Iowa City, Iowa. The aim of this paper is to consider economic ...- Authors: Michael Sherris, John van der Hoek
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital; Finance & Investments>Investment strategy - Finance & Investments
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IFRS 17 Risk Adjustment Confidence Level Disclosure
IFRS 17 Risk Adjustment Confidence Level Disclosure Calculating the risk adjustment confidence level ... required by IFRS 17 if the risk adjustment itself is calculated using a cost of capital approach Liability ...- Authors: Leonard Reback
- Date: Dec 2017
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: The Financial Reporter
- Topics: Finance & Investments>Economic capital
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Bringing Risk into Capital Management
Bringing Risk into Capital Management Actuaries and rating agencies increasingly believe that the NAIC's ... reporting and pricing risk structure. Economic capital, based upon a stochastic evaluation of a company's ...- 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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Emerging Global Capital Standards for Insurance
Standards for Insurance This article discusses the global capital standards for Global Systemically ... developed by the International Association of Insurance Supervisors (IAIS). Capital;Systemic risk;IAIS;Gl ...- Authors: Elizabeth Dietrich, Ian Adamczyk
- Date: May 2016
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; External Forces & Industry Knowledge>External forces and business performance; Leadership>Influence; Professional Values>Public interest representation
- Publication Name: International News
- Topics: Enterprise Risk Management>Systemic risk; Finance & Investments>Economic capital; General Insurance (Property & Casualty)>Capital - General Insurance; Global Perspectives>Global markets; Global Perspectives>Multinational companies; Life Insurance>Capital - Life Insurance
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Navigating the Changing Landscape
Navigating the Changing Landscape The article explores the use of economic capital modeling to deliver ... clients by improving the financial security of many individual lives around the world in a cost-effective ...- Authors: Clinton Thompson
- Date: Dec 2015
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: The Actuary Magazine
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Economic capital
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A Cost of Capital Approach to Extrapolating an Implied Volatility Surface
A Cost of Capital Approach to Extrapolating an Implied Volatility Surface This paper develops an option ... that takes cost of capital concepts as its foundation rather than dynamic replication. The resulting model ...- Authors: Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Estimation methods