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Solution of the Risk Load Problem of Effect on Variability
Solution of the Risk Load Problem of Effect on Variability The method described in this paper is to ... to each category of business and reserves in proportion to its estimated effect on an insurer's surplus ...- Authors: Daniel F Gogol
- Date: Jan 1993
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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On the Determination of Capital Charges in a Discounted Cash Flow Model
On the Determination of Capital Charges in a Discounted Cash Flow Model We derive formulas for calculating ... calculating the premiums that should be charged on policies in a discounted cash flow model with tax reserves ...- Authors: Application Administrator
- Date: Jan 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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On Uniqueness of Interest Rates in a Borrowing/Lending Model
On Uniqueness of Interest Rates in a Borrowing/Lending Model This paper presents a proof on the subject ... subject of uniqueness of interest rates in a borrowing/lending model for possible student use in undergraduate ...- Authors: Donald P Minassian
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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A Bond Manager's Method for ALM
This paper introduces the Bond Manager's Method for ALM which allows the impact of a change in interest ... rate levels on the present value of a stream of cash flows to be directly determined from the coupon rates ...- Authors: Application Administrator
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Bounds on Expected Values of Insurance Payments and Option Prices
Bounds on Expected Values of Insurance Payments and Option Prices This paper presents best upper and ... bounds on the expected value of a reinsurance payment under the terms of a contract written on a random ...- Authors: Samuel Cox
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance
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Implementation of Intensity Model Approach to Constant Maturity Credit Default Swap Pricing
Implementation of Intensity Model Approach to Constant Maturity Credit Default Swap Pricing Constant ... approach, the default time is defined as the first arrival time of the Poisson process. From the market ...- Authors: Ohoe Kim
- Date: Jan 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Modeling Multivariate Risk - To Copula, or Not To Copula: That is the Question
Multivariate Risk - To Copula, or Not To Copula: That is the Question This presentation discussed the Copula ... which is the most popular methodology in multivariate modeling in finance and insurance. The definition ...- Authors: Xiaodong Sheldon Lin
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Operational Risk Capital Provisions for Banks and Insurance Companies
Operational Risk Capital Provisions for Banks and Insurance Companies This paper investigates the implications ... implications of using the Basel II motivated Advanced Measurement Approaches as a method to assess operational ...- Authors: Edoh Afambo
- Date: Jan 2006
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Finance & Investments>Banking - Finance & Investments; Modeling & Statistical Methods; Public Policy
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Coherent Distortion Risk Measures in Portfolio Selection
Coherent Distortion Risk Measures in Portfolio Selection The theme of this presentation relates to solving ... Generalization of the CVaR linear optimization framework. 2. Equivalences among four formulations of Coherent ...- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance
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A Linear Programming Approach to Maximizing Policyholder Value
paper explores the use of linear programming as a tool to guide policyholders in getting the most value out ... out of their combined insurance and investment programs. Concentrating on flexible premium universal ...- Authors: Michael Conwill
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Life Insurance>Universal life; Modeling & Statistical Methods