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Exploring Policyholder Behavior in the Extreme Tail
Exploring Policyholder Behavior in the Extreme Tail This paper demonstrates that extreme value ... This paper applies EVT to the study of variable annuity dynamic lapse behavior in the extreme tail. It ...- Authors: Yuhong Xue
- Date: Apr 2012
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Influence decisions; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Risk Management
- Topics: Annuities>Capital - Annuities; Annuities>Policyholder behavior - Annuities; Annuities>Reserves - Annuities; Annuities>Variable annuities; Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Strategic risks
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Modeling the Interconnectivity of Risks in ERM
Expanded Matrix If there are m risk clusters and s risk factors in total, there will be m detailed ... matrix. Hence, an expanded connectivity matrix with s×s factors can be built to contain those m detailed ...- Authors: YUNFENG YIN, Neil Cantle, Neil Allan
- Date: Apr 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Strategic risks
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2007 Enterprise Risk Management Symposium: General Re-Rating Formula
respectively, and let the vectors Y = (y1, y2, … ,ym), U = (u1, u2, … ,un), and G = (g1, g2, …, gp) repr ... m. (8.1) Similarly T T j j L L u 1 = , j=1, 2, …, n. (8.2) I I ...- Authors: Muhamed Borogovac
- Date: Mar 2007
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Strategic risks