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  • A Practical Concept of Tail Correlation
    of estimation are described, which we call the direct and indirect methods, respectively. Using these ... of the first order diversification factors. By direct calculation we find: ⎩⎨ ⎧ ≠ ==−−−= − − ...

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    • Authors: Application Administrator
    • Date: May 2009
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context
    • Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models
  • Economic Risk Capital: Part 1
    joined Standard & Poor's in the fall of 2000. His primary responsibilities there include analyzing and rating ... by a factor of two, and, in fact, companies might care about that very much because when spreads are wide ...

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    • Authors: Hubert B Mueller, Application Administrator, Jose Siberon
    • Date: May 2005
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context
    • Publication Name: Record of the Society of Actuaries
    • Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital
  • Capital and Hedge Modeling for Variable Annuities
    you care about the long-term statutory balance sheet. If you’re a company, you may very well care about ... 5 that if you’re not diversified, we don’t care how much capital you hold, it’s inadequate, you ...

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    • Authors: Hubert B Mueller, Application Administrator, Ulrich Stengele
    • Date: Jan 2005
    • Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
    • Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital; Modeling & Statistical Methods>Stochastic models
  • An Alternative To Capital Allocation
    business and are largely—and most critically—beyond direct control of management. However, when the capital ... of the portfolios on the efficient frontier is a direct combination of the available investments, the ...

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    • Authors: Application Administrator
    • Date: May 2007
    • Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Publication Name: Actuarial Practice Forum
    • Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Economic capital