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Coherent Distortion Risk Measures in Portfolio Selection
formulations of CVaR portfolio selection problems. Fa´bia´n [17] considered CVaR objectives and constraints in two-stage ... 1−Sl(l(2)) · · · p(m) 1−Sl(l(m−1)) = 1 . (17) Since portfolio losses are discretely distributed ...- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Modeling & Statistical Methods; Public Policy
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Operational Risk Capital Provisions for Banks and Insurance Companies
build on Fontnouvelle et al (2003) and suggest a 17 symbolic approach that easies the calibration of ... EDPM CPBP BDSF ALL Number of Contributors 1 19 17 71 53 264 1 381 Minimum 208 1 1 1 1 1 341 1 Maximum ...- Authors: Edoh Afambo
- Date: Jan 2006
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Finance & Investments>Banking - Finance & Investments; Modeling & Statistical Methods; Public Policy
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Market-Consistent Valuations of Life Insurance Business: The U.K. Experience
Market-Consistent ... 16. Option prices: 25-year term, by moneyness 17. Option prices: 35-year term, by moneyness 18. ... payout using “smoothing” and therefore change 17 of 80 ©2007 Society of Actuaries bonus rates ...- Authors: Chris O'Brien
- Date: Jul 2007
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting; Modeling & Statistical Methods; Public Policy