1
-
10
of
10
results (0.64 seconds)
Sort By:
-
Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement In this Chapter we present a ... based on Bayesian copula estimation. Contrary to the classic approach of using a single inter-risk- correlation ...- Authors: Klaus Bocker
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Bayesian methods
-
Efficient Frontier of New Business
Efficient Frontier of New Business The author constructed the efficient frontier of new business sales ... modeling the embedded value and economic capital against a universe of possible growth rates of the three ...- Authors: Yuhong Xue
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Influence decisions; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Enterprise Risk Management>Capital management - ERM
-
Efficient Frontier of New Business
Efficient Frontier of New Business The author constructed the efficient frontier of new business sales ... modeling the embedded value and economic capital against a universe of possible growth rates of the three ...- Authors: Yuhong Xue
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Influence decisions; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Enterprise Risk Management>Capital management - ERM
-
2007 Enterprise Risk Management Symposium: The Relationship between Risk Capital and Required Returns in Financial Institutions - Some Preliminary Results
2007 Enterprise Risk Management Symposium: The Relationship between Risk Capital and Required Returns ... Preliminary Results As an alternative to the widely-used 'return on economic capital' RAROC, this paper ...- Authors: Alistair Milne, Mario Onorato
- Date: Mar 2007
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM
-
Efficient Capital Allocation through Optimization
formulate the Capital Allocation problem as an optimization problem in which we seek the mix of business ... subject to a constraint on the Tail Value at Risk TVAR. Using the method of Lagrange multipliers, we ...- Authors: Romel G Salam
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM
-
Market-Consistent Risk Margins in Fair Value Loss Reserves
Market-Consistent Risk Margins in Fair Value Loss Reserves This paper introduces a minor modification to the Wacek ... additivity. The modification shifts the basis of the cost-of-capital risk margin embedded in the fair value ...- Authors: Michael G Wacek
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM
-
A Deterministic Scenario Approach to Risk Management
Approach to Risk Management Scenario analysis and stress tests based on consideration of shock events ... regulators on a company’s resiliency through a chain of events, as well as support the consideration of a firm’s ...- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Financial management
-
Instantiating Holism: Beyond ERM’s Half Measures
Measures This paper focuses on the role of holism in enterprise risk management ERM. The performance measure ... discounted for being overly reductionistic. The concept of an economic capital charge or credit is seen ...- Authors: Christopher Perrin
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Capital markets; Finance & Investments>Embedded value
-
Effective Stress Testing in Enterprise Risk Management
Enterprise Risk Management This paper discusses both the theoretical and the application aspects of stress ... enterprise risks. Effective stress testing maximizes the risk adjusted enterprise profit by controlling major ...- Authors: Lijia Guo
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM
-
2007 Enterprise Risk Management Symposium: Capital Allocation by Percentile Layer
2007 Enterprise Risk Management Symposium: Capital Allocation by Percentile Layer Capital allocation ... formulation of value at risk and other capital standards, recognizes the capital usage of losses that ...- Authors: Neil M Bodoff
- Date: Mar 2007
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM