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The Growing Demand for More Robust Economic Scenario Generators
The Growing Demand for More Robust Economic Scenario Generators Reviews basic desirable features in ... in an economic scenario generator. Discusses basics of model structure and validation process Interest ...- Authors: Ken Griffin, Hal Warren Pedersen
- Date: Aug 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset liability management
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Modeling Economic Series Coordinated withInterest Rate Scenarios
Modeling Economic Series Coordinated withInterest Rate Scenarios The SOA’s Committee on Finance Research ... recently made available the results of a research study that explores economic series and provides an ...- Authors: Steven Siegel
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Scenario generation
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A Black Swan Test
not within the data set used to parameterize their risk models. We suggest the adop¬tion of a terminology ... and communicate a test of the stability of model results.” Risk measurement; 11046 8/1/2009 12:00:00 ...- Authors: David Ingram
- Date: Aug 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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The Objective Function of Asset/Liability Management
The Objective Function of Asset/Liability Management This article discusses asset-liability management ... a simulation of the firm as an external observer e.g. shareholder would view it, and the other a “still ...- Authors: David N Becker
- Date: Mar 1998
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Economic value
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RE-THINK THE RISK: Use and Misuse of Statistics
RE-THINK THE RISK: Use and Misuse of Statistics Statistics were invented to describe heterogeneity and ... not be appropriate. Let's clarify their field of relevance. Asset allocation;Enterprise risk management=ERM;Own ...- Authors: Sylvestre Frezal
- Date: Feb 2017
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Effective decision-making; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risks & Rewards
- Topics: Enterprise Risk Management>Governance; Enterprise Risk Management>Risk appetite; Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Strategic risks
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Implementing the Longstaff-Schwartz Model
Implementing the Longstaff-Schwartz Model The article discusses that drawbacks of the HJM Heath-Jarrow-Morton ... Heath-Jarrow-Morton class of stochastic interest models and suggests the use of the Longstaff-Schwartz string ...- Authors: L SS
- Date: Oct 2002
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Negative Externality: A Framework for Contemplating Systemic Risk
for Contemplating Systemic Risk Applies the economic concept of negative externality (where firms profit ... systemic of financial institutions. Identifies alternatives to the traditional (Pigou) response of taxing ...- Authors: Richard Gorvett
- Date: Sep 2012
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Professional Values>Public interest representation
- Publication Name: Risks & Rewards
- Topics: Economics>Macroeconomics; Enterprise Risk Management>Systemic risk
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The Cost of Capital Assumption in Actuarial Appraisals:An Application of Fair Value of Liability Concepts
The Cost of Capital Assumption in Actuarial Appraisals:An Application of Fair Value of Liability Concepts ... explores the relationship between cost of capital, market fair value of assets and liabilities, and the option ...- Authors: Gregory Goulding
- Date: Feb 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Financial Reporting & Accounting>Fair value accounting
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Deflators - The Solution to a Stochastic Conundrum?
Deflators - The Solution to a Stochastic Conundrum? As stochastic modeling has evolved, it has divided ... re-united through the use of deflators. Scenario generation=Scenario generators=Economic scenario generators;Stochastic ...- Authors: Don Wilson
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Life Insurance; Modeling & Statistical Methods>Stochastic models
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Are Your Scenarios on Target?
2005, Issue No. 47. Actuaries are faced with the dilemma of how to incorporate advances in insurance products ... Increasingly, this means looking at a large number of potential outcomes using stochastic simulations.- Authors: Application Administrator
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models