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Marvelous Model Risk Management
• MRM Monthly Blog From Reactive to Proactive 17 Shifting Focus – Model Changes • Residual Risk ... • International Financial Reporting Standards (IFRS) updates • Impacted Models accounted for ~30% ...- Authors: Emily Cassidy, Mandy Lee, Darren Zhang, Sebastian Polczynski, William Abram
- Date: Aug 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Enterprise Risk Management>Governance; Enterprise Risk Management>Risk measurement - ERM
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L’appariement des durations comme stratégie de gestion du risque donne de piètres résultats
L’appariement des durations comme stratégie de gestion du risque donne de piètres résultats ... est un problème difficile, mais les PCGR et les IFRS donnent quantité de conseils en la matière. Si la ...- Authors: Edward Freeman
- Date: Jun 2023
- Competency: Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Enterprise Risk Management>Risk measurement - ERM
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Introduction of Cashflow Matching Strategic Asset Allocation Framework
Introduction of Cashflow Matching Strategic Asset Allocation Framework The article introduces ... followed by sovereign bonds (26%) and agency bonds (17%). Company ABC is assessing whether its asset portfolio ...- Authors: Gautam Devarashetty, Seong Weon Park, Joy Chen, Mandy Jiao
- Date: Apr 2024
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Enterprise Risk Management>Portfolio management - ERM; Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Strategic risks; Finance & Investments>Asset allocation; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Summary of Risk Management Research on Policyholder Behavior in the Tail Survey
3.0% 4.0% 5.0% 6.0% 7.0% 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 Projection Year ... 120% 140% 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 Cu m ul ati ve Re tu rn Projection ...- Authors: Jeffrey Hartman
- Date: Jun 2019
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Annuities; Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM
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A Practical Algorithm for Approximating the Probability of Ruin
A Practical ... that is, 1 = 2(1 - v)' p>l . 1/2< ~,< 1. (17) 452 TRANSACTIONS, VOLUME XL IV Since f(p) ... (21), respectively; Compute ~:z using Equation (17); p using Equation (25); /31 and/32 using Equation ...- 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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Loading Gross Premiums for Risk Without Using Utility Theory
distributions are contained in Embrechts and Goldie [17] and in Embrechts and Veraverbeke [18]. Definition ... example of such a risk-measure function is = ~24 (17) RIg] K 2 '~ {-O3K~ 3 Jr f~4K4 where the coj>-0 ...- 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
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Session 081: Economic Scenario Generation for Life, Pension and P&C Applications
Session 081: Economic Scenario Generation for Life, Pension and P&C Applications The academy generator ... and tested 16 Issues – Short-Term Projections 17 Prepared by Conning, Inc. Issues – Short-Term ...- Authors: Daniel B Finn, Hal Warren Pedersen, David Schraub
- Date: Feb 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Risk measurement - ERM; Finance & Investments; Finance & Investments>Economic Scenario Generators
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Measuring and Analyzing Volatility Risk in Disability Income
Measuring ... a 30-day wait shows that the volatility factor is 17%, and for a 180-day wait, it’s only 8%. When ... days) of waiting period (in months) 30 60 90 180 0 17% 15% 12% 8% 12 10 9 8 6 24 4 4 4 4 ...- Authors: Richard M Rasiej, Jeyaraj Vadiveloo, Darryl Wagner
- Date: Jun 1996
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Risk measurement - ERM; Health & Disability>Disability insurance
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Probabilistic Concepts in Measurement of Asset Adequacy
is (5), if we can prove that qb(0) = 0(1 + 0) ' (17) To this end we integrate (9) with respect to u ... P(x) ]dx = ap~ - 1 + 0' 0 which gives Formula (17). Let -q = sup {x [ P(x) = 0}. By assumption, ~1 ...- 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 Two-Dimensional Risk Measure
A Two-Dimensional Risk Measure This paper suggests that risk is too complex to quantify with a single number, ... the corresponding threshold are plotted. 17 Figure 14 -7000 -6000 -5000 -4000 -3000 ...- Authors: Richard Gorvett, Jeffrey Grant Kinsey
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Risk measurement - ERM