Description: This abstract describes a paper that reverses the sequence of the Euler (or gradient) allocation technique by calculating the marginal costs of risk exposures for a profit maximizing financial institution with risk averse counterparties, and then identifying a closed-form solution for the risk measure whose gradient delivers the correct marginal costs.

Description: This abstract describes a paper that develops by line of business forecasts of the relativity to the Property/Casualty industry Loss Ratio.

Description: This abstract describes a paper that looks at ways of pricing options under the enhanced diffusion Model.

Description: This abstract describes a paper that proposes a new model for the loss given default (LGD), which takes the depth of default into consideration.

Description: In this article, the author presents a case for using a Risk Return On Capital approach as a way to integrate desirable properties of the Economic Value Added approach and the Return On Risk-Adjusted Capital approach. The EVA approach has a shortcoming in that is does not reflect rating agency capital. The RORAC is computed as the ratio of expected total underwriting return to allocated risk capital, and represents the expected return for both benign and potentially consumptive usage of capital. The RROC approach measures returns after reflecting the mean rental cost of rating agency capital. Returns that are a reward for exposing capital to risk of loss are measured after reflecting the cost of carrying capital to support premium written and loss reserves.

Description: This abstract describes a paper that proposes a new model for the loss given default (LGD), which takes the depth of default into consideration.

Description: This abstract describes work that revisits Tilley’s approach to approximating the value of a derivative through simulation and compares it to the Least Squares Monte Carlo Method developed by Longstaff and Schwartz.

Description: This abstract describes a paper that uses delay equations to derive a formula for the price of an option used for the pricing of corporate debt and adopts this approach to the valuation of government loan guarantees for companies in financial distress.

Description: This abstract describes a paper in which two different simulation studies are made for dynamic financial analysis.

Description: This abstract describes a paper that introduces a bivariate compound loss model describing the aggregate losses from two lines of insurance businesses.