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A Practical Concept of Tail Correlation
function )(uξ by: 10, )( )]()([)(21 2 <<−=− u uCTV uVaRuCTEuξ where )(uCTE is the conditional ... conditional tail expectation at probability level u; )(uVaR is the value at risk; and )(uCTV is the conditional ...- Authors: Application Administrator
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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A Cost of Capital Approach to Extrapolating an Implied Volatility Surface
10-year horizon that can typically be observed in today‘s capital markets. The paper concludes with a short ... insurance;Longevity;Mortality rates=Mortality tables=Death rates ;Risk adjustment;Mortality risk; 32182 1/5/2011 ...- Authors: Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Estimation methods
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A novel approach to valuing an insurance company’s economic surplus
A novel approach to valuing an insurance company’s economic surplus This paper provides a novel approach ...- Authors: Dariush Akhtari
- Date: Aug 2019
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Asset liability management; Finance & Investments>Economic capital; Finance & Investments>Economic value
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The Economic Capital and Risk Adjustment Performance for VA with Guarantees with an Example of GMAB
k using a specific example: a simple variable annuity (VA) with guaranteed minimum account benefit (GMAB) ... g. 2. Economic Capital for the Variable Annuity with Guarantees We use two random variabl ...- Authors: Jun Zhuo, Seong Weon Park
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Economic capital
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Weighted Pricing Functionals
weighted pricing functional piw : X → [0,∞], see Table 2.1. Actuarial pricing functionals w(x) piw[X] ... x1{x ≥ xp} E[X|X ≥ xp] +Var[X|X ≥ xp]/E[X|X ≥ xp] Table 2.1. Examples of the actuarial weighted pricing ...- Authors: Edward Furman, Ricardas Zitikis
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments
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Using Trading Costs to Construct Better Replicating Portfolios
the portfolio of liabilities at time in scenario s = 1, 2, …, Srw. 3. Compute sr , the fair market ... assets at time in scenario s = 1, 2, …, Srw. 4. From the Srw sampled losses ( s sv r ), construct ...- Authors: Curt Burmeister, Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Economic capital
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Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
the marginal distribution functions are as in Table 2.1. Now, observing that the inverses F−1i (·), ... BR F (x) = Φ [ x−µ σ ] , x ∈ R µ = 0, σ = 4.56 Table 2.1: Marginal distributions for market risk (MR) ...- Authors: Klaus Bocker
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Bayesian methods
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ECONOMIC CAPITAL. AN ALTERNATE COPULA FREE APPROACH.
ECONOMIC ... Page 2 of 50 C a p i t a l : A F i r s t L o o k Among the many uses of capital, one ... C a p i t a l : A L o o k a t E x i s t i n g M o d e l s Before we move forward with our alternate ...- Authors: Jawwad Farid
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Big picture view; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Finance & Investments>Economic capital
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Enterprise Risk Modeling Based on Related Entities
control (LRC) for 36 risk types, presented in the Table 1 below. The types of risk involved covered basically ... managers, responding to the questionnaire presented in Table 1, reported about the probability of a particular ...- Authors: Zbigniew Krysiak
- Date: Apr 2012
- Competency: Leadership>Change management; Professional Values>Practice expertise; Results-Oriented Solutions>Assess decision effectiveness; 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>Operational risks; Enterprise Risk Management>Risk appetite; Enterprise Risk Management>Risk categories; Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments
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Effective Risk-Based Decision Making: ORSA and Beyond
Assessment” aspect of the NAIC’s ORSA. This places a spotlight on an insurer’s strategic decision making from ... scope than the specific requirements of the NAIC’s ORSA, insurers can develop this into a valuable process ...- Authors: Mark Scanlon, Guillaume Briere-Giroux
- Date: May 2012
- Competency: Leadership>Thought leadership; Results-Oriented Solutions; Strategic Insight and Integration
- Topics: Actuarial Profession>Best practices; Enterprise Risk Management; Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments