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Extreme Events for Insurers: Correlation, Models and Mitigation Study
... 61 6.1 Step-by-Step Block Maxima Example: U.S. Tornado Deaths ................................ ... ......... 61 6.2 Hidden Markov Model Example: U.S. Earthquake Frequency ..........................- Authors: Kailan Shang, Marc Alexandre Vincelli
- Date: Apr 2015
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Wavelet-Based Equity VaR Estimation
Figure 1 shows the annualized volatility using daily S&P 500 index return from 1990 to 2017. Assuming a ... great deal. Table 1 shows the annualized volatility and empirical value at risk (VaR) of S&P 500 equity ...- Authors: Kailan Shang
- Date: Dec 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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The Optimal Timing of Risk Management
Risk Hedging Insurance company ABC sells variable annuity products with a guaranteed minimum account value ... timing decision. Data from Yahoo! Finance Figure 1. S&P 500 Index Value and VIX (January 1990 to November ...- Authors: Society of Actuaries, Kailan Shang
- Date: Dec 2016
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risk Management
- Topics: Enterprise Risk Management
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Wavelet-Based Equity VaR Estimation
annualisée à l’aide du rendement quotidien de l’indice S&P 500, de 1990 à 2017. En supposant une volatilité ... à risque (VaR) du rendement de l’indice boursier S&P 500 à l’aide de données quotidiennes, mensuelles ...- Authors: Kailan Shang
- Date: Oct 2019
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management
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Applying Fuzzy Logic to Risk Assessment and Decision-Making
risk level and expected new business volume. Table 1 lists five products that have different levels ... Actuaries, All Rights Reserved Page 19 of 59 Table 1. Sample Misconduct Risk Monitoring 2.3 Alternative ...- Authors: Kailan Shang
- Date: Nov 2013
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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Resources for ERM Stakeholder Engagement
for resources within an organization. In this month’s newsletter, we revisit this old yet still important ... for resources within an organization. In this month’s newsletter, we revisit this old yet still important ...- Authors: Kailan Shang
- Date: Jun 2021
- Competency: External Forces & Industry Knowledge
- Publication Name: Risk Management
- Topics: Enterprise Risk Management
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Macroeconomics Based Economic Scenario Generation
input data, the models or the scenarios. The U.S. economy is used as an example to demonstrate the ... scenarios can be compared to historical data (Table 1) or to market predictions to assess their reasonableness ...- Authors: Kailan Shang
- Date: Apr 2020
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Economics; Enterprise Risk Management
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Applying Image Recognition to Insurance
are available for NNs; Table 1 lists four of the most common ones. Table 1 Activation Functions ... preference. Table 2 lists some training parameters used in this example. Explanations follow the table.- Authors: Kailan Shang
- Date: Jun 2018
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management