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  • A Cost of Capital Approach to Extrapolating an Implied Volatility Surface
    A Cost of Capital Approach to Extrapolating an Implied Volatility Surface This paper develops an option pricing model that takes cost of capital concepts as its foundation rather than dynamic ...

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    • Authors: Application Administrator
    • Date: Jan 2011
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
    • Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Estimation methods
  • Estimation of Probability of Defaults (PD) for Low Default Portfolios: An Actuarial Approach
    Estimation of Probability of Defaults (PD) for Low Default Portfolios: An Actuarial Approach Global financial crises like the one recently experienced, affected both large and small ...

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    • Authors: Nabil Iqbal, Syed A Ali
    • Date: Apr 2012
    • Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
    • Publication Name: Risk Management
    • Topics: Enterprise Risk Management>Risk appetite; Finance & Investments>Economic capital
  • A Tale of Two Pension Plans: Measuring Pension Plan Risk from an Economic Capital Perspective
    A Tale of Two Pension Plans: Measuring Pension Plan Risk from an Economic Capital Perspective The SOA is pleased to make available a report updating the 2012 risk assessment performed by Porteous ...

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    • Authors: Stephen Bonnar, Lori Curtis, Jaideep Oberoi, Aniketh Pittea, Pradip Tapadar
    • Date: Nov 2019
    • Competency: External Forces & Industry Knowledge
    • Topics: Finance & Investments; Finance & Investments>Asset allocation; Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments; Pensions & Retirement; Pensions & Retirement>Defined benefit plans; Pensions & Retirement>Plan design; Pensions & Retirement>Risk management; Finance & Investments>Economic Scenario Generators
  • ERM is not equal to EC squared
    ERM is not equal to EC squared The focus of this article is that while Economic Capital can be a valuable component of the ERM process for insurance companies, an over-emphasis on EC, to the ...

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    • Authors: Sim Segal
    • Date: Mar 2006
    • Competency: Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
    • Publication Name: Risk Management
    • Topics: Enterprise Risk Management; Finance & Investments>Economic capital
  • New Survey of the Use of Alternative Financial Metrics by U.S. Life Insurers
    New Survey of the Use of Alternative Financial Metrics by U.S. Life Insurers Performance measurement is not the primary purpose of either GAAP or statutory accounting. This article discusses ...

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    • Authors: Arnold Dicke
    • Date: Dec 2005
    • Competency: External Forces & Industry Knowledge>External forces and business performance; Technical Skills & Analytical Problem Solving>Problem analysis and definition
    • Publication Name: The Financial Reporter
    • Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Financial management; Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Economic capital; Financial Reporting & Accounting; Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]; Financial Reporting & Accounting>Statutory accounting
  • A Multi-Stakeholder Approach to Capital Adequacy
    A Multi-Stakeholder Approach to Capital Adequacy This paper is Part 1 of a two-part submission. Part 2, “An Alternative Approach to Capital Allocation,” discusses using risk-replicating ...

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    • Authors: Robert Painter, Dan Isaac
    • Date: May 2007
    • Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
    • Publication Name: Actuarial Practice Forum
    • Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Stochastic models
  • Arbitrage-Free Perspective On Economic Capital Calibration
    Arbitrage-Free Perspective On Economic Capital Calibration The selection of the economic capital calculation approach becomes more of a modeling decision. Now let us pause here and think about ...

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    • Date: Mar 2012
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>External forces and business performance; Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Publication Name: The Financial Reporter
    • Topics: Enterprise Risk Management>Financial management; Enterprise Risk Management>Risk appetite; Finance & Investments>Economic capital; Financial Reporting & Accounting>International Financial Reporting Standards [IFRS]
  • Effective Risk-Based Decision Making: ORSA and Beyond
    Effective Risk-Based Decision Making: ORSA and Beyond In this essay, we focus on the “Prospective Solvency Assessment” aspect of the NAIC’s ORSA. This places a spotlight on an insurer’s strategic ...

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    • Authors: Mark Scanlon, Guillaume Briere-Giroux
    • Date: May 2012
    • Competency: Leadership>Thought leadership; Results-Oriented Solutions; Strategic Insight and Integration
    • Topics: Actuarial Profession>Best practices; Enterprise Risk Management; Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments
  • Developing a New Management Approach by Combining Risk Management and Controlling as a Change Management Process
    Developing a New Management Approach by Combining Risk Management and Controlling as a Change Management Process Increasing uncertainties and volatility in financial as well as real goods markets ...

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    • Authors: Holger Sommerfeld
    • Date: Apr 2012
    • Competency: Leadership>Change management; Leadership>Influence; Leadership>Thought leadership; Strategic Insight and Integration>Big picture view; Strategic Insight and Integration>Effective decision-making; Strategic Insight and Integration>Influence decisions; Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Publication Name: Risk Management
    • Topics: Actuarial Profession>Best practices; Enterprise Risk Management>Operational risks; Enterprise Risk Management>Risk appetite; Enterprise Risk Management>Risk categories; Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Strategic risks; Finance & Investments>Economic capital; Finance & Investments>Economic value; Finance & Investments>Investments
  • IFRS 17 Risk Adjustment Confidence Level Disclosure
    IFRS 17 Risk Adjustment Confidence Level Disclosure Calculating the risk adjustment confidence level disclosure required by IFRS 17 if the risk adjustment itself is calculated using a cost of ...

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    • Authors: Leonard Reback
    • Date: Dec 2017
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions
    • Publication Name: The Financial Reporter
    • Topics: Finance & Investments>Economic capital