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Market-Consistent Risk Margins in Fair Value Loss Reserves
Market-Consistent ... defined by recursive Formula (3.9) or the following direct formula: 16 T knj PT kPT PT kPT knT ... Derivation of Direct Formulas for nR and 1nR It is possible to derive a direct formula for inR ...- Authors: Michael G Wacek
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM