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Value-at-Risk for Risk Portfolios
Value-at-Risk for Risk Portfolios In this paper, the author uses simple risk portfolios to discuss the abilities ... abilities and shortcomings of the current methodologies for Value-at Risk [VaR], and suggests methodologies ...- Authors: Julia Lynn Wirch-Viinikka
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management>Risk measurement - ERM
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Comparing Needs for Initial Surplus in Collective Risk Models
Collective Risk Models The initial risk reserves in collective risk models vary according to the underlying ... distribution, and a suitable level of ruin probability. A thorough analysis of the needed initial surplus for ...- Authors: John A Beekman, Clinton P Fuelling
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management>Risk measurement - ERM
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A Space Marching Finite Difference Algorithm for Valuing American
Algorithm for Valuing American This is the abstract of the paper A Space Marching Finite Difference ... In this paper, the author considers the problem of valuating American options written on assets that pay ...- Authors: Lijia Guo
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Derivatives