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A Practical Concept of Tail Correlation
function )(uξ by: 10, )( )]()([)(21 2 <<−=− u uCTV uVaRuCTEuξ where )(uCTE is the conditional ... conditional tail expectation at probability level u; )(uVaR is the value at risk; and )(uCTV is the conditional ...- Authors: Application Administrator
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Evolution of Loss Reserve Risk
Background on Value-at-Risk Methods Traditional U.S. actuarial approaches take a much different view ... sources of information must be used. In the case of U.S. P&C insurers, the available data takes the form ...- Authors: Thomas P Conway, MARK DANIEL MCCLUSKEY
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Value at risk - Finance & Investments
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Approximating the Effects of Parameter Uncertainty on Value at Risk Estimates
lines and event types according to S = N∑ i=1 Xi (1) where S is the aggregate loss, N is the random ... The level α Value at Risk, VaRα, associated with S is the aggregate loss that is exceded with probability ...- Authors: Jacques Rioux, Steven Major, Donald Erdman
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
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ERM for Strategic Management – Status Report
Bulletin 36(2): 433–462. [2] Patrik, G., Bernegger, S., and Rüegg, M.B. 1999. “The Use of Risk Adjusted ... Accounting Research 19(1): 185– 196. [5] Tasche, D. 2000. “Risk Contributions and Performance Measurement ...- Authors: Gary G Venter
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Enterprise Risk Management>Financial management; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments