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Weighted Pricing Functionals
weighted pricing functional piw : X → [0,∞], see Table 2.1. Actuarial pricing functionals w(x) piw[X] ... x1{x ≥ xp} E[X|X ≥ xp] +Var[X|X ≥ xp]/E[X|X ≥ xp] Table 2.1. Examples of the actuarial weighted pricing ...- Authors: Edward Furman, Ricardas Zitikis
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments
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Modeling, Measuring, and Pricing the Flood Risk
.......... 11 3.4 Flood Risk Management in the U.S. ............................................... ... ........... 14 4.4 Flood Risk Insurance in the U.S. ...............................................- Authors: Edward Furman, Jian xi Su
- Date: Jan 2019
- Competency: External Forces & Industry Knowledge
- Topics: Environment
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Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
its total risk capital is TCEXj |S (sq) = E (Xj|S > sq) , (4) where S = X1 + X2 + · · ·Xn. Certainly, ... the whole company, i.e. TCES (sq) = nX j=1 E (Xj|S > sq) . (5) In this paper we advance (4) and (5) ...- Authors: Edward Furman, Zinoviy Landsman
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
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A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited
business unit (BU) of a financial entity, and let S = ∑n i=1Xi stand for the aggregate risk RV in this ... aggregation. After the aggregate risk capital, H(S), has been determined, the question arises as to what ...- Authors: Edward Furman, Jian xi Su
- Date: Dec 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management