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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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Economic Risk Capital: Part 1
Society of Actuaries Note: The chart(s) referred to in the text can be downloaded at: http://handouts ... with E&Y and Jose Siberon with Standard & Poor's (S&P). I will introduce each of them in more detail as ...- Authors: Hubert B Mueller, Application Administrator, Jose Siberon
- Date: May 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital
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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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Capital and Hedge Modeling for Variable Annuities
Society of Actuaries Note: The chart(s) referred to in the text can be found at http://handouts ... Dutch and Swiss statutory capital initiatives. The U.S. statute, SCL2, is just beginning and AUSTI Guideline ...- Authors: Hubert B Mueller, Application Administrator, Ulrich Stengele
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital; Modeling & Statistical Methods>Stochastic models
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An Alternative To Capital Allocation
An Alternative To Capital Allocation The authors introduce an alternative to Tail Contribution ... called Economic Profit Analysis EPA. They discuss EPA’s key feature, “volatility replication,” an intuitively ...- Authors: Application Administrator
- Date: May 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Actuarial Practice Forum
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Economic capital