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  • Property/Casualty Insurer Economic Capital Using a VaR Model
    Property/Casualty Insurer Economic Capital Using a VaR Model The abstract for the paper Property/Casualty Insurer Economic Capital Using a VaR Model. Economic capital;Risk modeling; 8433 4/23/ ...

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    • Authors: Thomas P Conway, MARK DANIEL MCCLUSKEY
    • Date: Apr 2006
    • Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
    • Topics: Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
  • A Nonparametric Test for Comparing the Riskiness of Portfolios
    A Nonparametric Test for Comparing the Riskiness of Portfolios This paper discusses a natural and convenient statistic, the nested L-statistic, investigates its performance using a simulation ...

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    • Authors: Vytaras Brazauskas
    • Date: Jan 2008
    • Competency: Technical Skills & Analytical Problem Solving
    • Topics: Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
  • A Risk Model when Premium Rate Depends on Claim Size
    A Risk Model when Premium Rate Depends on Claim Size This paper considers a dependent classical risk model with diffusion, in which the premium rate is determined by the amount of the previous ...

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    • Authors: Jun Cai, Ming Zhou
    • Date: Jan 2008
    • Competency: Technical Skills & Analytical Problem Solving
    • Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
  • Applied Robust Performance Analysis for Actuarial Applications
    Applied Robust Performance Analysis for Actuarial Applications This paper investigates techniques for the assessment of model error in the context of insurance risk analysis. Modeling errors; ...

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    • Authors: Qihe Tang, Zhongyi Yuan
    • Date: Nov 2016
    • Competency: Technical Skills & Analytical Problem Solving
    • Topics: Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
  • Applied Robust Performance Analysis for Actuarial Applications Presentation
    Applied Robust Performance Analysis for Actuarial Applications Presentation This paper investigates techniques for the assessment of model error in the context of insurance risk analysis.

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    • Authors: Qihe Tang, Zhongyi Yuan
    • Date: Nov 2016
    • Competency: Technical Skills & Analytical Problem Solving
    • Topics: Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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