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Extreme Events for Insurers: Correlation, Models and Mitigation Study
... 61 6.1 Step-by-Step Block Maxima Example: U.S. Tornado Deaths ................................ ... ......... 61 6.2 Hidden Markov Model Example: U.S. Earthquake Frequency ..........................- Authors: Kailan Shang, Marc Alexandre Vincelli
- Date: Apr 2015
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Wavelet-Based Equity VaR Estimation
Figure 1 shows the annualized volatility using daily S&P 500 index return from 1990 to 2017. Assuming a ... great deal. Table 1 shows the annualized volatility and empirical value at risk (VaR) of S&P 500 equity ...- Authors: Kailan Shang
- Date: Dec 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Wavelet-Based Equity VaR Estimation
annualisée à l’aide du rendement quotidien de l’indice S&P 500, de 1990 à 2017. En supposant une volatilité ... à risque (VaR) du rendement de l’indice boursier S&P 500 à l’aide de données quotidiennes, mensuelles ...- Authors: Kailan Shang
- Date: Oct 2019
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management
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Macroeconomics-Based Economic Scenario Generation
input data, the models or the scenarios. The U.S. economy is used as an example to demonstrate the ... scenarios can be compared to historical data as in Table E.1 or market predictions to assess their reasonableness ...- Authors: Kailan Shang
- Date: Apr 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Deep Learning for Liability-Driven Investment
the optimal dynamic investment strategy π*(s) based on s, the states that decision makers can observe ... one that maximizes the reward function Q*(s,a) determined by s, the states, and a, the rebalancing action ...- Authors: Kailan Shang
- Date: Feb 2022
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Finance & Investments; Predictive Analytics
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Macroeconomics Based Economic Scenario Generation
input data, the models or the scenarios. The U.S. economy is used as an example to demonstrate the ... scenarios can be compared to historical data (Table 1) or to market predictions to assess their reasonableness ...- Authors: Kailan Shang
- Date: Apr 2020
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Economics; Enterprise Risk Management
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Applying Image Recognition to Insurance
are available for NNs; Table 1 lists four of the most common ones. Table 1 Activation Functions ... preference. Table 2 lists some training parameters used in this example. Explanations follow the table.- Authors: Kailan Shang
- Date: Jun 2018
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management