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A Tale of Two Density Functions
A Tale of Two Density Functions Gives examples of the difference between actual data distribution of investment returns compared with lognormal assumptions. Return on investment; 7370 1/1/2011 12 ...- Authors: Richard Joss
- Date: Jan 2011
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Forecasting
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An Alternative to Capital Allocation
An Alternative to Capital Allocation This paper illustrates a current approach to capital allocation, referred to herein as Tail Contribution Analysis TCA, using it to evaluate the impact of ...- Authors: TOM MATTHEW MCINTYRE, Dan Isaac
- Date: May 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Practice Forum
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Stochastic models
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Stochastic Analysis of Long-Term Multiple-Decrement Contracts
Stochastic Analysis of Long-Term Multiple-Decrement Contracts This paper introduces a rich stochastic modeling framework for understanding risks in multiple-decrement contracts. The example in ...- Authors: Chad R Runchey, MATTHEW F CLARK
- Date: Aug 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Practice Forum
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Stochastic models