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Applied Robust Performance Analysis for Actuarial Applications
Applied Robust Performance Analysis for Actuarial Applications This paper investigates ... techniques for the assessment of model error in the context of insurance risk analysis. Modeling errors;Insurance ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Nov 2016
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Applied Robust Performance Analysis for Actuarial Applications Presentation
Applied Robust Performance Analysis for Actuarial Applications Presentation This paper ... techniques for the assessment of model error in the context of insurance risk analysis. Modeling errors;Insurance ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Nov 2016
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Risk Evaluation in the Final Stages of the Pandemic
Evaluation in the Final Stages of the Pandemic The direct and indirect effects of the pandemic have ... have impacted many actuaries’ work since the spring of 2020. This article addresses three considerations ...- Authors: David Brentlinger
- Date: Jul 2022
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Small Talk
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Forecasting; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Property/Casualty Insurer Economic Capital Using a VaR Model
Property/Casualty Insurer Economic Capital Using a VaR Model The abstract for the paper Property/Casualty ... Property/Casualty Insurer Economic Capital Using a VaR Model. Economic capital;Risk modeling; 8433 4/23/2006 12:00:00 ...- Authors: Thomas P Conway, MARK DANIEL MCCLUSKEY
- Date: Apr 2006
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Quality Control of Risk Measures: Backtesting Risk Models - A Tale of Two Powers
Control of Risk Measures: Backtesting Risk Models - A Tale of Two Powers A presentation at the Actuarial ... Montreal. This paper discusses the Basel VaR Value at Risk test of a bank's VaR model. It proposes ...- Authors: Application Administrator, Jesus Ruiz-Mata, Ricardo Rivera
- Date: Jan 2007
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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A Nonparametric Test for Comparing the Riskiness of Portfolios
Comparing the Riskiness of Portfolios This paper discusses a natural and convenient statistic, the nested ... considers an example involving the comparison of risk measure values where the risks of interest are those associated ...- Authors: Vytaras Brazauskas
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Risk Management and the Power of Simplicity
Management and the Power of Simplicity The editorial cautions that while the development of more sophisticated ... important to consider the very real risk management costs associated with the increased complexity, efficiency ...- Authors: Kurt Wrobel
- Date: Apr 2014
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: The Actuary Magazine
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Charting the Evolving Role and Authority of the CRO
Charting the Evolving Role and Authority of the CRO Findings from EY Insurance Risk Management Team's ...- Authors: David Paul, Chad R Runchey
- Date: Mar 2017
- Competency: External Forces & Industry Knowledge>General business skills; Leadership>Thought leadership; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; General Insurance (Property & Casualty)>Capital - General Insurance; Life Insurance>Capital - Life Insurance; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods; Public Policy
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Value-at-Risk—an OverviewPart Two of Two
OverviewPart Two of Two Value-at-Risk—an Overview Part Two of Two by Glyn Holton from The Financial Reporter ... simulation;Scenario generation=Scenario generators=Economic scenario generators; 9096 5/1/1999 12:00:00 ...- Authors: Glyn A Holton
- Date: May 1999
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: The Financial Reporter
- Topics: Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Bounds for Ruin Probabilities and Value at Risk
Value at Risk Sometimes, rare things happen and the least expected occurs. Indeed, some events occur ... a company or even the whole country. Insurers are also not free from the impact of catastrophic large-scale ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods