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Insurance Regulation: the 1-year 99.5% VaR Fallacy
Insurance Regulation: the 1-year 99.5% VaR Fallacy European insurance regulation pretends to capture ... and rely on the 1-year 1-in-200 VaR. But there cannot exist any scientific calibration of such measure ...- Authors: Sylvestre Frezal
- Date: Aug 2017
- Competency: Strategic Insight and Integration>Effective decision-making; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Estimation methods; Modeling & Statistical Methods>Extreme value theory; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Risk/Return, a Chimera?
Chimera? By Sylvestre Frezal In the short term, you don’t get the expected return—risk may be relevant ... relevant, but expectation is not. In the long term, the risks offset and disappear—expectation is relevant ...- Authors: Society of Actuaries, Sylvestre Frezal
- Date: Dec 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Leadership>Thought leadership; Strategic Insight and Integration>Effective decision-making; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Finance & Investments>Asset allocation