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2007 Enterprise Risk Management Symposium: Capital Allocation by Percentile Layer
” paper accepted by Casualty Actuarial Society (CAS). Lee, Y.‐S. 1988. The mathematics of excess of loss coverage ... free” by David Ruhm. PCAS XCI, 25–33. Wang, S. 2002. A set of new methods and tools for enterprise risk capital ...Description: Capital allocation by percentile layer has important advantages over existing methods. It highlights a new formulation of value at risk and other capital standards, recognizes the capital usage of losses that do no extend into the tail and captures the disproportionate capital usage of severe losses. From 2007 Enterprise Risk Management Symposium, M-AS07-1.
Hide- Authors: Neil M Bodoff
- Date: Mar 2007
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM
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Enterprise Risk Management Quantification - An Opportunity
Enterprise Risk Management Quantification - An Opportunity Most, if not all, ERM ... n techniques guide. The purpose was to “provide[s] practical illustrations of techniques used at various levels of ...Description: Most, if not all, ERM frameworks recognize the added value that the quantification of risk brings to the overall risk management process. This paper discusses the need for the development of a quantification framework, which is a clear opportunity for the actuarial and mathematical communities. From 2006 Enterprise Risk Management Symposium, M-AS06-1.
Hide- Authors: Brian Kemp, Christopher David Bohn
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Volatility Management in Defined-Benefit Pension Plans: Basic Optimization
Volatility Management in Defined-Benefit Pension Plans: Basic Optimization The purpose of ... duplicates the probative value of another metric. The table below summarizes the behavior of the metrics we ...Description: The purpose of this paper is to explore a methodology for choosing among techniques for managing contribution volatility in defined- benefit pension plans. A frequently used – and as often criticized – method for managing contribution volatility is to base actuarial cost on smoothed assets. Our goal in this paper is to develop a methodology for measuring and evaluating the quantitative impact of competing asset smoothing policies. We proceed by investigating a series of basic pension metrics, evaluating the characteristics of each using a simulated pension plan. We then use normalized and weighted combinations of these metrics to determine an optimal smoothing policy.
Hide- Authors: Robert McCrory
- Date: Sep 2012
- Competency: Leadership>Thought leadership; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Modeling & Statistical Methods>Simulation; Pensions & Retirement>Funding; Pensions & Retirement>Public sector plans