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Approximating the Effects of Parameter Uncertainty on Value at Risk Estimates
Approximating the Effects of Parameter Uncertainty on Value at Risk Estimates This article examines ... Value at Risk VaR estimates. Lacking a closed form solution, we use a first order approximation of VaR to ...- Authors: Jacques Rioux, Steven Major, Donald Erdman
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
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Modeling Mortality Risk from Exposure to a Potential Future Extreme Event and Its Impact on Life Insurance
Modeling Mortality Risk from Exposure to a Potential Future Extreme Event and Its Impact on Life Insurance ... Insurance This paper presents the modeling of mortality risk from exposure to a potential future extreme event ...- Authors: Samuel Cox, Yungui Hu
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments; Life Insurance
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The Effect of the Deductible on the Average Claim Size
The Effect of the Deductible on the Average Claim Size It is obvious that the introduction of a deductible ... effects. The amount paid for every claim will drop, resulting in a lower claim burden for the insurance ...- Authors: T Varga
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments
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Analyzing Investment Data Using Conditional Probabilities: The Implications for Investment Forecasts, Stock Option Pricing, Risk Premia, and CAPM Beta Calculations
Probabilities: The Implications for Investment Forecasts, Stock Option Pricing, Risk Premia, and CAPM ... demonstrates the impact that conditional probabilities could have on CAPM beta and risk premia calculations ...- Authors: Richard Joss
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
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Another Look at Empirical Estimation of Actuarial Risk Measures
Empirical Estimation of Actuarial Risk Measures This paper discusses the actuarial risk measures and uses ... uses a variety of estimation techniques such as nonparametric approach, parametric methods and robust procedures ...- Authors: Vytaras Brazauskas
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio Recently, there has been growing ... experts to focus on the use of a tail conditional expectation as a measure of risk, since it shares properties ...- Authors: Edward Furman, Zinoviy Landsman
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
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The Optimal Strategy and Capital Threshold of Multi-period Proportional Reinsurance
The Optimal Strategy and Capital Threshold of Multi-period Proportional Reinsurance This paper investigates ... investigates the optimal multi-period proportional reinsurance strategy that minimizes the ruin probability ...- Authors: Ken Seng Tan, Zhongfei Li, Jianfa Cong
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
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Certain Limits in the Theory of Annuities
Limits in the Theory of Annuities The article provides a complete and rigorous analysis based on calculus ... calculus for the topics in the theory of compound interest: the monotone convergence properties of the rates ...- Authors: Constantine Georgakis
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Pricing - Annuities; Finance & Investments>Risk measurement - Finance & Investments
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Better Late Than Never. The Case of the Rollover Option
Than Never. The Case of the Rollover Option In addition to death and maturity guarantees on the mutual funds ... make it possible for the investor to extend the guarantees for a fixed number of years. In this paper ...- Authors: Claire Bilodeau
- Date: Jan 1997
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Life Insurance>Investment strategy - Life Insurance
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Credibility with Incomplete Information in Group Insurance
Insurance This paper deals with how the credibility levels change based on this lack knowledge. Group insuraace ... models are used, bill some of tile techniques could apply to any insurance risk. N/A; 664 1/1/1996 12:00:00 ...- Authors: Charles S Fuhrer
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Technology & Applications>Analytics and informatics