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Efficient Capital Allocation through Optimization
Efficient Capital Allocation through Optimization In this paper, we formulate the Capital Allocation problem as an optimization problem in which we seek the mix of business that maximizes an ...- Authors: Romel G Salam
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM
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A Cost of Capital Approach to Credit and Liquidity Spreads
A Cost of Capital Approach to Credit and Liquidity Spreads The Market Cost of Capital approach has emerged as the standard for estimating risk margins for insurers' fair value balance ...- Authors: B John Manistre
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Capital management - ERM
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Measurement of Risk, Solvency Requirements and Allocation of Capital Within Financial Conglomerates
Measurement of Risk, Solvency Requirements and Allocation of Capital Within Financial Conglomerates This paper addresses the allocation of solvency capital in multi- line financial businesses.- Authors: Harry H Panjer
- Date: Nov 2001
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Capital management - ERM
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A Deterministic Scenario Approach to Risk Management
A Deterministic Scenario Approach to Risk Management Scenario analysis and stress tests based on consideration of shock events and their possible repercussions can provide useful information to ...- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Financial management
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A Shortcut to Calculating Return on Required Equity and its Link to Cost of Capital
A Shortcut to Calculating Return on Required Equity and its Link to Cost of Capital An insurance product’s return on required equity demonstrates how successfully its results are covering the ...- Authors: Nicholas Jacobi
- Date: Feb 2016
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Capital management - Finance & Investments
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ERM Stochastic Analysis Tools: Risk Drivers Revealed
ERM Stochastic Analysis Tools: Risk Drivers Revealed This paper demonstrates the use of Quantile Regression in the development and understanding of conditional value at risk (VaR) models for ...- Authors: Steven Craighead
- Date: Apr 2012
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM
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A Structural Model of Sovereign and Bank Credit Risk
A Structural Model of Sovereign and Bank Credit Risk Abstract: A model for analyzing the probability and severity of default of sovereign entities and banks. The methodology analyzes the risks ...- Authors: Dan diBartolomeo, Emilian Nikolaev Belev
- Date: Apr 2013
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Economics>Financial economics; Economics>Macroeconomics; Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Strategic risks; Enterprise Risk Management>Systematic risk; Finance & Investments>Asset allocation; Finance & Investments>Banking - Finance & Investments
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A novel approach to valuing an insurance company’s economic surplus
A novel approach to valuing an insurance company’s economic surplus This paper provides a novel approach to the valuation of the market value of economic surplus that is stable and immune from “ ...- Authors: Dariush Akhtari
- Date: Aug 2019
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Asset liability management; Finance & Investments>Economic value; Finance & Investments>Embedded value
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2007 Enterprise Risk Management Symposium: The Relationship between Risk Capital and Required Returns in Financial Institutions - Some Preliminary Results
2007 Enterprise Risk Management Symposium: The Relationship between Risk Capital and Required Returns in Financial Institutions - Some Preliminary Results As an alternative to the widely-used ...- Authors: Alistair Milne, Mario Onorato
- Date: Mar 2007
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM
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Capital Allocation in the Property-Liability Insurance Industry
Capital Allocation in the Property-Liability Insurance Industry This monograph was presented at the 2011 Enterprise Risk Management Symposium, held March 14-16 in Chicago. The author, writing ...- Authors: Stephen P D'Arcy
- Date: Mar 2011
- Competency: External Forces & Industry Knowledge>External forces and business performance; Strategic Insight and Integration
- Topics: Enterprise Risk Management>Capital management - ERM