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A Cost of Capital Approach to Extrapolating an Implied Volatility Surface
10-year horizon that can typically be observed in today‘s capital markets. The paper concludes with a short ... insurance;Longevity;Mortality rates=Mortality tables=Death rates ;Risk adjustment;Mortality risk; 32182 1/5/2011 ...- Authors: Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Estimation methods
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Using Trading Costs to Construct Better Replicating Portfolios
the portfolio of liabilities at time in scenario s = 1, 2, …, Srw. 3. Compute sr , the fair market ... assets at time in scenario s = 1, 2, …, Srw. 4. From the Srw sampled losses ( s sv r ), construct ...- Authors: Curt Burmeister, Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Economic capital
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ECONOMIC CAPITAL. AN ALTERNATE COPULA FREE APPROACH.
ECONOMIC ... Page 2 of 50 C a p i t a l : A F i r s t L o o k Among the many uses of capital, one ... C a p i t a l : A L o o k a t E x i s t i n g M o d e l s Before we move forward with our alternate ...- Authors: Jawwad Farid
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Big picture view; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Finance & Investments>Economic capital