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Weighted Pricing Functionals
weighted pricing functional piw : X → [0,∞], see Table 2.1. Actuarial pricing functionals w(x) piw[X] ... x1{x ≥ xp} E[X|X ≥ xp] +Var[X|X ≥ xp]/E[X|X ≥ xp] Table 2.1. Examples of the actuarial weighted pricing ...- Authors: Edward Furman, Ricardas Zitikis
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments
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Economic Risk Capital: Part 1
Society of Actuaries Note: The chart(s) referred to in the text can be downloaded at: http://handouts ... with E&Y and Jose Siberon with Standard & Poor's (S&P). I will introduce each of them in more detail as ...- Authors: Hubert B Mueller, Application Administrator, Jose Siberon
- Date: May 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital
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A Multi-Stakeholder Approach to Capital Adequacy
the Standard and Poor’s Capital Adequacy Ratio (S&P CAR) and the Best’s Capital Adequacy Ratio (BCAR) ... substantial amounts of surplus notes, will focus on S&P CAR and BCAR. Mutual companies are more likely ...- 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
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Economic Measurement of Insurance Liabilities: The Risk and Capital Perspective
guaranteed minimum death benefit (GMDB) on a variable annuity is the same as a traditional put option— the difference ... The first item, nonmarket assumptions (e.g., mortality, lapse, expenses, and morbidity), is not the ...- Authors: Larry Rubin, Randy Tillis, Michael J Lockerman, Xiaokai Shi
- Date: Mar 2009
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Practice Forum
- Topics: Finance & Investments>Economic capital; Finance & Investments>Economic value; Financial Reporting & Accounting; Financial Reporting & Accounting>Fair value accounting
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Using Trading Costs to Construct Better Replicating Portfolios
the portfolio of liabilities at time in scenario s = 1, 2, …, Srw. 3. Compute sr , the fair market ... assets at time in scenario s = 1, 2, …, Srw. 4. From the Srw sampled losses ( s sv r ), construct ...- Authors: Curt Burmeister, Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Economic capital
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Making the Case for Economic Risk Capital and Risk-Adjusted Performance Measurement Frameworks
Making ... Society of Actuaries Note: The chart(s) referred to in the text can be found at the end of ... from ING and Jose Siberon from Standard and Poors (S&P). This session is all about economic capital ...- Authors: Hubert B Mueller, Jose Siberon, Kevin Reimer
- Date: Jun 2004
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital
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Economic Capital Correlation Matrices and Other Techniques - A Survey and Discussion
Economic Capital Correlation Matrices and Other Techniques - A Survey and Discussion In recent ... Due to the diversity of products in an organization’s portfolio, its overall risk profile is comprised ...- Authors: Christopher Olechowski, Matthew Clark
- Date: Sep 2008
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Economic capital
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Specialty Guide on Economic Capital
In addition, Regulatory Capital for variable annuity products with guarantees will be defined using ... various practical alternatives currently in use. TABLE 4.1 Alternative Definitions of Economic Capital ...- Authors: Society of Actuaries
- Date: Mar 2004
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Economic capital
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Navigating the Changing Landscape
Navigating the Changing Landscape The article explores the use of economic capital modeling to deliver ... capital;Asset liability management=ALM;Liquidity;Mortality risk 6442464884 12/9/2015 2:16:00 PM ...- Authors: Clinton Thompson
- Date: Dec 2015
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: The Actuary Magazine
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Economic capital
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Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
the marginal distribution functions are as in Table 2.1. Now, observing that the inverses F−1i (·), ... BR F (x) = Φ [ x−µ σ ] , x ∈ R µ = 0, σ = 4.56 Table 2.1: Marginal distributions for market risk (MR) ...- 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