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  • Introduction to Value-At-Risk
    Introduction to Value-At-Risk Panelists at this session of the SOA 1998 Maui II Spring Meeting examine the basics of value-at-risk as an effective risk management concept and how it can be used ...

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    • Authors: Edward P Mohoric, Deborah K Orlando, Mark C Abbott
    • Date: Jun 1998
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Record of the Society of Actuaries
    • Topics: Finance & Investments>Value at risk - Finance & Investments
  • Subjective Value at Risk
    Subjective Value at Risk This article provides an analysis of Value at Risk VAR and its advantages and limitations as a tool for assessing and quantifying market risk. The article originally ...

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    • Authors: Glyn A Holton
    • Date: Oct 1998
    • Competency: External Forces & Industry Knowledge
    • Publication Name: Risks & Rewards
    • Topics: Finance & Investments>Value at risk - Finance & Investments
  • Insurance Risk Management Tools: Value at Risk and Risk Adjusted Economic Value
    Insurance Risk Management Tools: Value at Risk and Risk Adjusted Economic Value This paper reviews the Value At Risk concept, a financial risk management tool and discusses its application to ...

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    • Authors: Alastair G Longley-Cook
    • Date: Jan 1997
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Actuarial Research Clearing House
    • Topics: Enterprise Risk Management; Finance & Investments>Value at risk - Finance & Investments
  • S-Curve Reserve For Universal Life
    S-Curve Reserve For Universal Life Excerpts from Yee's presentation on the S-Curve reserve for Universal life. The S-Curve represents a distribution of amount of assets needed under 550 ...

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    • Authors: Lone-Young Yee
    • Date: Jan 2000
    • Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
    • Publication Name: Actuarial Research Clearing House
    • Topics: Finance & Investments>Asset liability management; Finance & Investments>Value at risk - Finance & Investments; Life Insurance>Reserves - Life Insurance
  • VaR and Ruin Probabilities for the Geometric Brownian Motion with Jump Model
    VaR and Ruin Probabilities for the Geometric Brownian Motion with Jump Model This abstract describes a paper that models an insurer’s surplus as a Geometric Brownian motion with Poisson jumps.

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    • Authors: JIANDONG REN, Yu Zhao
    • Date: Dec 2012
    • Competency: External Forces & Industry Knowledge
    • Topics: Finance & Investments>Value at risk - Finance & Investments
  • Approximating the Effects of Parameter Uncertainty on Value at Risk Estimates
    Approximating the Effects of Parameter Uncertainty on Value at Risk Estimates This article examines how parameter uncertainty leads to uncertainty in Value at Risk VaR estimates. Lacking a closed ...

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    • Authors: Jacques Rioux, Steven Major, Donald Erdman
    • Date: Nov 2010
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
    • Topics: Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
  • Optimizing CPPI Investment Strategy for Life Companies
    Optimizing CPPI Investment Strategy for Life Companies Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk). value at ...

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    • Authors: Aymeric Kalife, Saad Mouti
    • Date: Aug 2018
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Publication Name: Risks & Rewards
    • Topics: Annuities>Variable annuities; Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
  • Investment Fallacies e-book
    Investment Fallacies e-book Investment Fallacies: Extended periods of robust macroeconomic growth are healthy for investing. currency risk;investment policy;investment risk;financial management; ...

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    • Authors: Society of Actuaries, Paul Conlin
    • Date: Sep 2014
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; External Forces & Industry Knowledge>External forces and business performance
    • Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
  • Investment Fallacies e-book
    Investment Fallacies e-book Investment Fallacies: The Fallacy of Independence currency risk;investment policy;investment risk;financial management;financial planning;risk metrics;risk theory; ...

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    • Authors: Richard Joss, Society of Actuaries
    • Date: Sep 2014
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; External Forces & Industry Knowledge>External forces and business performance
    • Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
  • Investment Fallacies e-book
    Investment Fallacies e-book Investment Fallacies: The Misconceptions of Retirement Risks currency risk;investment policy;investment risk;financial management;financial planning;risk metrics;risk ...

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    • Authors: Dimitry D Mindlin, Society of Actuaries
    • Date: Sep 2014
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; External Forces & Industry Knowledge>External forces and business performance
    • Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments