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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 is to ... to allocate surplus to each category of business and reserves in proportion to its estimated effect on ...- 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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Coherent Distortion Risk Measures in Portfolio Selection
Distortion Risk Measures in Portfolio Selection The theme of this presentation relates to solving portfolio ... Generalization of the CVaR linear optimization framework. 2. Equivalences among four formulations of Coherent ...- 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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Operational Risk Capital Provisions for Banks and Insurance Companies
paper investigates the implications of using the Basel II motivated Advanced Measurement Approaches as a ... regulations. The AMA developed in the paper uses actuarial loss models complemented by the extreme value ...- Authors: Edoh Afambo
- Date: Jan 2006
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Finance & Investments>Banking - Finance & Investments; Modeling & Statistical Methods; Public Policy
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On the Determination of Capital Charges in a Discounted Cash Flow Model
On the Determination of Capital Charges in a Discounted Cash Flow Model We derive formulas for calculating ... calculating the premiums that should be charged on policies in a discounted cash flow model with tax reserves ...- Authors: Application Administrator
- Date: Jan 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Bounds on Expected Values of Insurance Payments and Option Prices
Bounds on Expected Values of Insurance Payments and Option Prices This paper presents best upper and ... and lower bounds on the expected value of a reinsurance payment under the terms of a contract written on ...- Authors: Samuel Cox
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance
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Option Bounds in Discrete Time with Transaction Costs
framework with transaction costs. The model represents an extension of the Cox-Ross-Rubinstein binomial option ... to cover the case of proportional transaction costs. The method proceeds by constructing the appropriate ...- Authors: Phelim Boyle, Ton Vorst
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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On Uniqueness of Interest Rates in a Borrowing/Lending Model
Uniqueness of Interest Rates in a Borrowing/Lending Model This paper presents a proof on the subject of uniqueness ... uniqueness of interest rates in a borrowing/lending model for possible student use in undergraduate classes ...- Authors: Donald P Minassian
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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A Bond Manager's Method for ALM
This paper introduces the Bond Manager's Method for ALM which allows the impact of a change in interest ... rate levels on the present value of a stream of cash flows to be directly determined from the coupon rates ...- Authors: Application Administrator
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Chaotic Analysis on U.S. Treasury Interest Rates
This paper analyzes the U. S. Treasury monthly interest rates from 1953 to 1992, and the daily rates from ... forms of chaotic behavior. The primary analysis was in determining the Burst Exponent by the use of Rescaled ...- Authors: Steven Craighead
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics; Finance & Investments; Modeling & Statistical Methods
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Implementation of Intensity Model Approach to Constant Maturity Credit Default Swap Pricing
Implementation of Intensity Model Approach to Constant Maturity Credit Default Swap Pricing Constant ... approach, the default time is defined as the first arrival time of the Poisson process. From the market ...- Authors: Ohoe Kim
- Date: Jan 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods