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Coherent Distortion Risk Measures in Portfolio Selection
Coherent Distortion Risk Measures in Portfolio Selection The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear ...- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Modeling & Statistical Methods; Public Policy
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Combinatorics for Moments of a Randomly Stopped Quadratic Variation Process
Combinatorics for Moments of a Randomly Stopped Quadratic Variation Process This paper proposes a combinatoric approach to express higher moments of the quadratic variation process in terms of ...- Authors: James Bridgeman
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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The Fair Valuation of Insurance Liabilities: The Information Set Perspective
The Fair Valuation of Insurance Liabilities: The Information Set Perspective ongoing discussion of the proper interest rate to use in discounting liability cash flows to reflect credit risk of ...- Authors: Michael F Davlin
- Date: Mar 2006
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: The Financial Reporter
- Topics: Economics>Financial economics; Enterprise Risk Management>Capital management - ERM; Finance & Investments>Capital management - Finance & Investments; Financial Reporting & Accounting>Fair value accounting
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PBA Corner: Principle-based reserves update
PBA Corner: Principle-based reserves update Discusses the recent developments with RBC requirements. At the forefront of the RBC changes is the stochastic exclusion test. Risk-based capital=RBC; ...- Authors: Karen Rudolph
- Date: Jun 2009
- Competency: External Forces & Industry Knowledge
- Publication Name: The Financial Reporter
- Topics: Finance & Investments>Capital management - Finance & Investments
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The Investment Section
The Investment Section This article discusses the new Investment Section. The initial targeted areas are expected to be: Modeling, Corporate Finance, Capital Management and Investment ...- Authors: Robert D Hogue
- Date: May 1988
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Actuarial Profession>Professional development; Finance & Investments
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Inflation-Protected Securities—A Further Look
Inflation-Protected Securities—A Further Look This article provides an analysis of Treasury Inflation-Protected Securities TIPS, examining the mechanics of these bonds, how they have performed to ...- Authors: Chris K Madsen
- Date: Mar 1998
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset allocation; Finance & Investments>Investments
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The Use of Transfer Pricing in Asset Liability Management
The Use of Transfer Pricing in Asset Liability Management There are many factors involved with managing the financial condition of an insurance company and the factors usually fall into on of ...- Authors: Nancy Bennett, Michael Murphy
- Date: Aug 1999
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Risks & Rewards
- Topics: Enterprise Risk Management>Financial management; Finance & Investments>Asset liability management
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All That Glitters Has Not Been Gold
All That Glitters Has Not Been Gold Gold has been one of the worst performing investment assets of the last two decades due to the steady to low inflation. In the future, if the US economic ...- Authors: Nino A Boezio
- Date: Aug 1999
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Investments
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1999 Market Triathlon Update
1999 Market Triathlon Update This article compares the best estimates of the Investment Section members those who submitted entries for the 3-month Treasury bill rate, 30-year Treasury bond rate ...- Authors: Frank Grossman
- Date: Aug 1999
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Economics>Financial markets; Finance & Investments>Investments
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Back-to-Basics: Credit Default Swaps
Back-to-Basics: Credit Default Swaps A primer on Credit Default Swaps Corporate bonds;Credit default swaps;Derivatives; 10982 7/1/2003 12:00:00 AM ...- Authors: Teri Geske
- Date: Jul 2003
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives