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Stratégies de gestion de l’actif et du passif : gestion du risque de convexité en contexte de hausse des taux d’intérêt
Stratégies de gestion de l’actif et du passif : gestion du risque de convexité ... insurer convexity risk exposure, most notably to dynamic policyholder lapsation. We further provide insights ...- Authors: Robert E Winawer, Seong Weon Park
- Date: Sep 2021
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Asset liability management
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Asset and Liability Management Strategies: Managing Convexity Risk as Interest Rates Rise
insurer convexity risk exposure, most notably to dynamic policyholder lapsation. We further provide insights ... changes in interest rates without incorporating dynamic lapse behavior. Static liability convexity increases ...- Authors: Robert E Winawer, Seong Weon Park
- Date: Sep 2021
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Asset liability management
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IAIS Capital Standards Update
IAIS Capital Standards Update The International Association of Insurance Supervisors (IAIS) ... Interest Rate Risk. The basic methodology uses the Dynamic Nelson Siegel method chosen in 2017 in preference ...- Authors: John Dieck, David Sherwood, Josh Windsor
- Date: Aug 2017
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Capital management - ERM
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Capital Approach to Credit and Liquidity Spreads
Capital ... differs materially from best estimate. iii. A dynamic spread for parameter risk, the risk that the best ... static margin for current experience risk and a dynamic margin for parameter risk.- Authors: B John Manistre
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Capital management - ERM
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Property/Casualty Insurer Economic Capital Using a VaR Model
Property/Casualty Insurer Economic Capital Using a VaR Model The purpose of this paper is to build ... rom regulatory or rating agency formulas and dynamic financial analysis (DFA) models. 2. Back ...- 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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Risk-Based Capital
Risk-Based Capital This presentation is a panel discussion, session number 43PD, from the 2002 Valuation ... the regulators.” Can you imagine the sort of dynamic that goes on there? Or what’s less onerous is ...- Authors: James W Dallas, Alastair G Longley-Cook, James Reiskytl
- Date: Sep 2002
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Capital management - ERM
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Risk-Based Capital: Health Organizations
Risk-Based Capital: Health Organizations This panel will discuss the current status of ... products. The amount of dividends was one of the dynamic features of the model. It varied with the accumulated ...- Authors: Darrell Knapp, Steven Lippai, Robert E Wilcox
- Date: Oct 1995
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Capital management - ERM; Health & Disability>Health insurance; Public Policy