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Effective Stress Testing in Enterprise Risk Management
Management This paper discusses both the theoretical and the application aspects of stress testing in managing ... enterprise risks. Effective stress testing maximizes the risk adjusted enterprise profit by controlling major ...- Authors: Lijia Guo
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM
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Capital Allocation by Possibilistic Linear Programming Approach
mean-variance method does not take skewness of the random rate of return into consideration. It only considers ... acceptable rate of return, which limited the probability of obtaining higher rate of return. If the skewness ...- Authors: Lijia Guo, Zhen Huang
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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An Optimal Model for Asset Liability Management
Asset Liability Management This paper addresses the stochastic modeling for managing asset liability ... evaluating of the liabilities of the insurance company in general. We then formulate the ALM process ...- Authors: Lijia Guo
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Stochastic models