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Why the Current Practice of Operational Risk Management in Insurance is Fundamentally Flawed: Evidence From the Field
Why the Current Practice of Operational Risk Management in Insurance is Fundamentally Flawed: Evidence ... From the Field This paper evaluates the current practice of operational risk management in the insurance ...- Authors: Madhu Acharyya
- Date: Apr 2012
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Finance & Investments; Modeling & Statistical Methods
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Assessing Regime Switching Equity Return Models
Models The purpose of this paper is to help practitioners and regulators more accurately quantify the potential ... potential impact of market risk on insurance products with equity-linked guarantees. To this end, this ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Finance & Investments; Modeling & Statistical Methods
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Retirement Needs Framework, Chapter 9: Is Your Standard of Living Sustainable during Retirement? Ruin Probabilities, Asian Options, and Life Annuities
Retirement Needs Framework, Chapter 9: Is Your Standard of Living Sustainable during Retirement? Ruin ... Annuities In this paper we compute the conditional and unconditional probability of ruin for an individual who ...- Authors: Moshe Arye Milevsky, Christopher Robinson
- Date: Jan 2000
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Pensions & Retirement>Retirement risks
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Modelling and Measuring Business Risk
Modelling and Measuring Business Risk This paper focuses on business risks rather than market, credit ... risks. The author proposes a bottom-up approach for modelling and measuring business risk where the dynamic ...- Authors: Klaus Bocker
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Inference for Logistic-type Models for the Force of Mortality
Logistic-type Models for the Force of Mortality Logistic-type models for the force of mortality like those ... fit to mortality data of people aged over 85 than Makeham’s model where the force of mortality increases ...- Authors: Louis G Doray
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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An Alternative Frequency Dependence Model and its Applications
Model and its Applications 2011 SOA Enterprise Risk Management Symposium, Chicago. In this paper ... frequency dependence among different risk types. The operational risk diversification effect is illustrated ...- Authors: SHUBIAO LI
- Date: Mar 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Finance & Investments>Banking - Finance & Investments; Modeling & Statistical Methods
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An Alternative Frequency Dependence Model and its Applications
An Alternative Frequency Dependence Model and its Applications 2011 SOA Enterprise Risk Management Symposium, ... SOA Enterprise Risk Management Symposium, Chicago. This is the abstract of the referenced paper ...- Authors: SHUBIAO LI
- Date: Mar 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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Multivariate Duration Analysis
depend on a mathematical formulation of the way in which a yield curve moves. To motivate the multivariate ... examples are presented that demonstrate the limitations of the traditional model when yield curve shifts ...- Authors: Robert Reitano
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Option Pricing by Esscher Transforms
that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms ... logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Validating a Liability Model
Liability Model This paper reviews validation for the model of a life insurance company's liabilities with ... reviewed: static and dynamic validation. From Society of Actuaries Financial Reporting Monograph, M-AS99-1 ...- Authors: Richard D Olswang
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods