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Property/Casualty Insurer Economic Capital Using a VaR Model
Background on VaR Methods The traditional U.S. approaches take a much different view of insurance loss ... of VaR‐based EC models. Putting aside the U.S. statutory accounting model, most types of assets held by ...- Authors: Thomas P Conway, MARK DANIEL MCCLUSKEY
- Date: Apr 2006
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Capital management - ERM
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Measurement of Risk, Solvency Requirements and Allocation of Capital Within Financial Conglomerates
Measurement ... >-+=> qq qqqq xXqx xXxXxxXX Overbeck (2000) also discusses VaR and TailVaR as risk measures ... qx which defines the “bad times” of Overbeck (2000). 3. Allocation of Capital Consider now the ...- Authors: Harry H Panjer
- Date: Nov 2001
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Capital management - ERM
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A Multi-Stakeholder Approach to Capital Adequacy
the Standard and Poor’s Capital Adequacy Ratio (S&P CAR) and the Best’s Capital ... tantial amounts of surplus notes, will focus on S&P CAR and BCAR. Mutual companies are more likely to focus on ...- Authors: Robert Painter, DANIEL A ISAACS
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Capital management - ERM