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April 2020 issue of Risk Management
Society of Actuaries (SOA). The paper looks at how dynamic stochastic general equilibrium and multifactor ... outcomes. As a unique part of this new type of ESG, dynamic stochastic general equilibrium (DSGE) models are ...- Authors: Society of Actuaries
- Date: Apr 2020
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Enterprise Risk Management>Risk measurement - ERM; Global Perspectives
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ORSA Process Implementation for Internal Stakeholders
ORSA Process Implementation for Internal Stakeholders The objective of this report is to provide ... undertakings are dealing with a very fast-moving, dynamic risk environment, and that anything other than ...- Authors: Ger Bradley, Padraic O'Malley, Milliman Inc
- Date: Sep 2015
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Compliance; Enterprise Risk Management>Governance; Enterprise Risk Management>Risk measurement - ERM
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Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas Report
regression model can be built accounting for dynamic tail dependence patterns between variables. We ... simulation study is conducted to illustrate that dynamic tail dependence structures between loss and ALAE ...- Authors: Lei Hua
- Date: Dec 2013
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Risk measurement - ERM
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First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks
First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks This ... Math. Econom. (2012) to appear. [7] Tsanakas, A. Dynamic capital allocation with distortion risk measures ...- Authors: Fan Yang
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Risk measurement - ERM
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Value-at-Risk, Risk-Based Surplus, and RBC C-3 Prescribed Testing
the UVS is passed. The formula does capture the dynamic and integrated nature of asset/liability management ... investigation. I’m particularly referring to dynamic lapses, which are real key in annuity modeling ...- Authors: Nancy Bennett, Michael J Hambro, Douglas A George, Anthony Dardis
- Date: Sep 1999
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Risk measurement - ERM