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Quality Control of Risk Measures: Backtesting Risk Models - A Tale of Two Powers
Quality Control of Risk Measures: Backtesting Risk Models - A Tale of Two Powers A presentation ... one-sided confidence interval for p [pL(x,.01),1] 17 Look at the power of the test! • The power of the ...- Authors: Application Administrator, Jesus Ruiz-Mata, Ricardo Rivera
- Date: Jan 2007
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Long-Term Forecasting for Interest Rates
Nonparametric Approach to Forecasting Interest Rates 17 2. For each maturity M ∈ M and for every pair ... 256 256 8.57E-10 8.46E-08 2.39E-13 2.45E-19 9.65E-17 3.41E-40 512 256 2.09E-16 1.58E-19 9.06E-21 4.79E-33 ...- Authors: Application Administrator, Vladimir S Ladyzhets, Vladimir Cherepanov
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Stochastic models
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Modeling Motorcycle Insurance Rate Reduction due to Mandatory Safety Courses
0.936773 (0,1,0) 0.768496 1.033597 0.936773 17 (1,2,0) 1.152745 1.654619 1.344014 (1,0,1) ... Users Conference in Jerusalem, May 30‐June 2, 2010. [17] Walhin, J. F. and J. Paris (2000). The true cla ...- Authors: Jeyaraj Vadiveloo, Shujuan Huang, Application Administrator
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Enterprise Risk Management>Risk measurement - ERM
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On the Haezendonck-Goovaerts Risk Measure for Extreme Risks
improves as b increases. Graph 6.2 is inserted here. 17 7 The exponential case with a general Young function ... Insurance Math. Econom. 49 (2011), no. 3, 335344. [17] Malevergne, Y.; Sornette, D. Extreme Financial Risks ...- Authors: Application Administrator, Fan Yang
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Risk measurement - ERM