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Computing Tight Bounds for Insurance Payments with Nonlinear Risk
semidefinite programming (SDP): Bertsimas & Popescu (2000), Popescu (2005), Cox et al (2008), He et al (2010) ... semidefinite programming (SDP): Bertsimas & Popescu (2000), Popescu (2005), Cox et al (2008), He et al (2010) ...- Authors: SHU ZHANG, Man Hong Wong
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Assessing Regime Switching Equity Return Models
used to assess the fit of several models to the S&P 500 log‐returns. We then complement this analysis ... innovations. Section 5 then assesses the models using the S&P total return index. This is done by first examining ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Finance & Investments; Modeling & Statistical Methods
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Asset Modeling Best Practices in the Current Environment
considering the low interest rate environment. The Academy’s Life Practice Council and Life Valuation Committee ... financial reporting actuaries practicing in today’s very low interest rate environment. As the scrutiny ...- Authors: Marc Altschull, Daniel B Finn, Frederick J. Hill, Patrick Ledlee
- Date: Aug 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods; Modeling & Statistical Methods>Asset modeling
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2023-health-meeting-session-1d
ratio (BCAR), a quantitative foundation for AM Best’s assessment of carriers’ financial strength. The benchmarking ... results over the past several years. Further, AM Best’s view of the quality of capital and various factors ...- Authors: Society of Actuaries
- Date: Dec 2023
- Competency: Strategic Insight and Integration
- Topics: Enterprise Risk Management; Finance & Investments; Modeling & Statistical Methods
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Solution of the Risk Load Problem of Effect on Variability
Solution of the Risk Load Problem of Effect on Variability The method described in this paper ... proportion to its estimated effect on an insurer's surplus variation. Risk load for each category of ...- Authors: Daniel F Gogol
- Date: Jan 1993
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Modelling and Measuring Business Risk
andWessels (2005) or Pratt, Reilly and Schweihs (2000) for a more detailed description of this subject) ... = ( ) →∞ : lim P t P dE s tt( ) = ( ) + ( ) ≥∫0 00 , P t P e dE s tr s t( ) = ( ) + ( ) ≥− ( )∫0 00 ...- Authors: Klaus Bocker
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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2023-health-virtual-s02d
ratio (BCAR), a quantitative foundation for AM Best’s assessment of carriers’ financial strength. The benchmarking ... results over the past several years. Further, AM Best’s view of the quality of capital and various factors ...- Date: Jan 2024
- Competency: Strategic Insight and Integration
- Topics: Enterprise Risk Management; Finance & Investments; Modeling & Statistical Methods
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Coherent Distortion Risk Measures in Portfolio Selection
Optimization Return maximization subject to CVaR constraint(s) maximize c′x subject to ζi + 11−α m∑ j=1 pjzij ... ar ke tP or tfo lio Va lu e 500 1000 1500 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 ...- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance
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Appropriate Standards for Profit Margins
ratum. It is imperative that we understand that U.S. insurance regulators are charged with rate regulation ... budget. They'll either be high or low. MR. BRADFORD S. GILE: If you build up some sort of a model for your ...- Authors: Stephen P D'Arcy, Charles McClenahan, Oakley E Van Slyke
- Date: Apr 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments; Modeling & Statistical Methods; Public Policy
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2023-esg-2
Modeling Approaches and Challenges focuses on approaches to real world simulation and the ... major asset classes and economic variables. (Moody’s approach) Overview of models, calibrations & approaches ...- Authors: Pawel Lojko, Hal Pedersen
- Date: May 2024
- Competency: Communication; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Finance & Investments; Financial Reporting & Accounting; Modeling & Statistical Methods; Pensions & Retirement