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Probabilistic Concepts in Measurement of Asset Adequacy
stockholder dividends. V = statutory reserves. S = risk surplus needed, determined by the valuation ... invested assets equal to V. Av+s = invested assets equal to V + S. U = A - Ao. = additional invested ...- Authors: Donald D Cody
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Asset liability management
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A Practical Algorithm for Approximating the Probability of Ruin
an in- surance company's aggregate claims process S(t). This model can briefly be described as follows: ... claims occurring in (0,t] are defined as N(t) S(t) = ~ Xk, t > O, k=l where N(t) is the number ...- Authors: Colin M Ramsay
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods
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A Guide to Quantifying C-3 Risk
of business with appropriate assumptions for mortality, lapses, expenses, and so on. THE ASSET CASH ... APPENDIX 1 ILLUSTRATION OF THE C-3 MODEL TABLE 1A CALL AND PUT PARAMETERS Call Threshold Factor ...- Authors: John A Mereu
- Date: Oct 1989
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM
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Loading Gross Premiums for Risk Without Using Utility Theory
include claim size variation, investment risks, mortality/morbidity risks, lapse risks, and so on. See, ... factor, that is, where 8(s) is the stochastic force of interest at time s. These premiums can be determined ...- Authors: Colin M Ramsay
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Enterprise Risk Management>Risk measurement - ERM