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A Computation Method for Discounting Stochastic Scenarios Under IFRS 17
A Computation Method for Discounting Stochastic Scenarios Under IFRS 17 Market consistent valuations require path-dependent discounting for scenarios. IFRS 17's requirement to discount ...- Date: Sep 2019
- Competency: Results-Oriented Solutions
- Publication Name: The Financial Reporter
- Topics: Financial Reporting & Accounting; Financial Reporting & Accounting>International Financial Reporting Standards [IFRS]; Modeling & Statistical Methods; Modeling & Statistical Methods>Stochastic models
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Beware stochastic model risk!
Beware stochastic model risk! The article warns against treating the results of a stochastic model with more deference than other actuarial analysis, and describes some hidden risks involved with ...- Authors: Stephen Strommen
- Date: Sep 2019
- Competency: Professional Values; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
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A Handful of Economic Capital Model Observations
A Handful of Economic Capital Model Observations Commentary on practical observations resulting from constructing and running Economic Capital models. Possible standardization of assumptions and ...- Authors: David M Walczak
- Date: Nov 2019
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Stochastic models
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A Handful of Economic Capital Model Observations
A Handful of Economic Capital Model Observations Commentary on practical observations resulting from constructing and running Economic Capital models. Possible standardization of assumptions and ...- Authors: David M Walczak
- Date: Nov 2019
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Stochastic models
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Economic Scenario Generators, Part I: Motivation for Stochastic Modeling
Economic Scenario Generators, Part I: Motivation for Stochastic Modeling This article is the first installment of a three-part series that aims to provide an overview of ESGs and will focus on ...- Authors: Dean Kerr, Matthew Zhang, Rahat Jain
- Date: Nov 2019
- Competency: Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: The Modeling Platform
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models