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Development of a Simulation-based Model to Quantify the Degree of a Bank’s Liquidity Risk
Development of a Simulation-based Model to Quantify the Degree of a Bank’s Liquidity Risk 2011 Enterprise ... III by January 2015. The paper looks at the process of developing a measurement framework using Black-Scholes ...- Authors: Sadi Bin Asad Farooqui
- Date: Mar 2011
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Global Perspectives; Modeling & Statistical Methods>Stochastic models; Public Policy
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The Financial Implications of Finite Ruin Theory
The Financial Implications of Finite Ruin Theory An insurance company starts with an initial surplus ... is the following year’s surplus. The process continues. This paper describes how to calculate the distribution ...- Authors: Glenn Meyers
- Date: Jan 1986
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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On The Numerical Evaluation of Survival Probabilities
On The Numerical Evaluation of Survival Probabilities This paper introduces a new direction for evaluating ... his book ‘Survival Probabilities: The goal of Risk Theory’. Some of special cases can be considered as ...- Authors: Marc Goovaerts
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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The Distribution of Aggregate Life Insurance Claims
The Distribution of Aggregate Life Insurance Claims This paper demonstrates the calculation of the moments ... moments of the distribution of aggregate life insurance claims from seriatim inforce data, assuming that ...- Authors: Thomas Edwalds
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Experience Studies & Data>Mortality; Life Insurance>Claims - Life Insurance; Modeling & Statistical Methods>Stochastic models
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The Cost of Mismatch in Stochastic Interest Rate Models
The Cost of Mismatch in Stochastic Interest Rate Models In a stochastic world consideration of only ... be dangerous. The aim of the present research is to study the computation of the cost of mismatch using ...- Authors: Michel Jacques, JEROME ZACCARI PANSERA
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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Non-exponential Bounds on the Tails of Compound Distributions
Non-exponential Bounds on the Tails of Compound Distributions Random sum models with compound distributions ... are used extensively in modeling of insurance risks. Unfortunately, the compound distributions themselves ...- Authors: Gordon E Willmot, Xiaodong Sheldon Lin
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Applications of Multidimensional Contingency Tables to the Analysis of Termination Counts In Disability Income Claim Data
Applications of Multidimensional Contingency Tables to the Analysis of Termination Counts In Disability ... Disability Income Claim Data A contingency table is a set of counts or frequencies obtained by classifying observations ...- Authors: Edward J Seligman
- Date: Jan 1979
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability>Disability insurance; Health & Disability>Disability tables; Modeling & Statistical Methods>Stochastic models
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Inference for a Leptokurtic Symmetric Family of Distributions Represented by the Difference of Two Gamma Variates
Leptokurtic Symmetric Family of Distributions Represented by the Difference of Two Gamma Variates In this ... introduce a family of leptokurtic symmetric distributions represented by the difference of two gamma variates ...- Authors: Louis G Doray, Maciej Augustyniak
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Modeling & Statistical Methods>Stochastic models; Technology & Applications>Business intelligence
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Immunization Under Stochastic Models of the Term Structure
Models of the Term Structure The purpose of this paper is to survey some new results concerning the term ... term structure of interest rates and discuss actuarial applications. The term structure of interest rates ...- Authors: Phelim Boyle
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Modeling & Statistical Methods>Stochastic models
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A Numerical Method for Computing the Probability Distribution of Total Risk of Portfolio
Method for Computing the Probability Distribution of Total Risk of Portfolio In the present paper, we propose ... numerical method of computing the probability distribution of S. Inversion of the Laplace transform ...- Authors: Rohan J Dalpatadu, Andy Tsang, Ashok K Singh
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models