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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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Risks & Rewards, September 2020, Issue 78
Risks & Rewards, September 2020, Issue 78 Read the September 2020 issue of Risks & Rewards published by the Investment Section. Newsletters provide practical information for the working ...- Authors: Society of Actuaries
- Date: Sep 2020
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments
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A novel approach in valuing an insurance company's economic surplus
A novel approach in valuing an insurance company's economic surplus A critical step in valuing a company for the purpose of financial reporting is the computation of the market value of ...- Authors: Dariush Akhtari
- Date: Dec 2019
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Finance & Investments
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Two Enhancements to Investment-Year Allocations of Income
Two Enhancements to Investment-Year Allocations of Income In this paper, the author identifies two problems that are perceptible with most versions of the investment-year method of allocating ...- Authors: Barry T Allen
- Date: Oct 1983
- Competency: External Forces & Industry Knowledge
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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The Far East: Stepping Up
The Far East: Stepping Up This article delves into the challenges and opportunities of the Asian insurance market, focusing on insurance investment management. Investment strategy;Investment ...- Authors: Frederick Yiu Fai Ngan, Eric Alan Forgy, Michael Kwan Yu Chan
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: The Actuary Magazine
- Topics: Finance & Investments>Asset liability management; Finance & Investments>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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Life & Annuity Case Study: Lincoln Memorial Life Ins.
Life & Annuity Case Study: Lincoln Memorial Life Ins. This case study is intended to educate insurance professionals on historical insurer impairments and insolvencies and possible future ...- Authors: David Heppen, Patricia Matson, Anna bondyra
- Date: Jan 2018
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; External Forces & Industry Knowledge>General business skills
- Topics: Enterprise Risk Management>Financial management; Finance & Investments>Asset liability management
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2003-2015 Credit Risk Loss Experience Study: Private Placement Bonds
2003-2015 Credit Risk Loss Experience Study: Private Placement Bonds This report covers credit risk loss experience during the period 2003 through 2015 on non-Rule 144A private placement ...- Authors: Society of Actuaries
- Date: Apr 2019
- Competency: External Forces & Industry Knowledge
- Topics: Actuarial Profession; Finance & Investments