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  • 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
  • Update on Total Asset Requirements for Variable Products with Guarantees
    Update on Total Asset Requirements for Variable Products with Guarantees Update on Total Asset Requirements for statutory reporting of reserves and surplus for Variable annuity products with ...

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    • Authors: James W Lamson, Max Rudolph
    • Date: Nov 2003
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context
    • Publication Name: The Financial Reporter
    • Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Conditional Tail Expectation; Public Policy
  • 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 ...

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    • 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
  • An Introduction To Risk Measures For Actuarial Applications
    An Introduction To Risk Measures For Actuarial Applications This study note focuses on actuarial applications and loss distributions for insurance products. Conditional Tail Expectation=CTE;Monte ...

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    • Authors: Mary Hardy
    • Date: Jul 2006
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context
    • Topics: Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Estimation methods
  • Generalized Bondy Development
    Generalized Bondy Development In this paper the author introduces a generalization of Bondy development and demonstrates its descriptive powers. Generalized Bondy development facilitates ...

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    • Authors: Alfred Weller
    • Date: Jan 1989
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Actuarial Research Clearing House
    • Topics: Modeling & Statistical Methods>Conditional Tail Expectation
  • A Handful of Economic Capital Model Observations
    A Handful of Economic Capital Model Observations Commentary on practical observations resulting from constructing and running Economic Capital models. Possible standardization of assumptions and ...

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    • Authors: David M Walczak
    • Date: Nov 2019
    • Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
    • Publication Name: Risk Management
    • Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Stochastic models
  • A Handful of Economic Capital Model Observations
    A Handful of Economic Capital Model Observations Commentary on practical observations resulting from constructing and running Economic Capital models. Possible standardization of assumptions and ...

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    • Authors: David M Walczak
    • Date: Nov 2019
    • Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
    • Publication Name: Risk Management
    • Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Stochastic models
  • PBR Simplified Methods Project
    PBR Simplified Methods Project Summary of the SOA research project on PBR Simplified Methods. Describes the multi-risk scenario generator, central estimate assumptions, assumption objectivity ...

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    • Authors: Mark Birdsall
    • Date: Apr 2019
    • Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
    • Publication Name: The Financial Reporter
    • Topics: Life Insurance>Reserves - Life Insurance; Life Insurance>Secondary guarantees; Life Insurance>Term life; Life Insurance>Universal life; Life Insurance>Whole life; Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Deterministic models; Modeling & Statistical Methods>Estimation methods; Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
  • Risk Aggregation and Diversification
    Risk Aggregation and Diversification This report reviews the academic literature on risk aggregation and diversification as well as the regulatory approaches. We will point out the advantages and ...

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    • Authors: Carole Bernard, steven vanduffel
    • Date: Aug 2016
    • Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Publication Name: Risk Management
    • Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Conditional Tail Expectation
  • Pandemic Risk
    Pandemic Risk This article presents recent perspectives on the understanding and measurement of pandemic risk. Life reinsurance;Longevity risk;Mortality risk;Provision for adverse deviation; ...

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    • Authors: Doris Azarcon
    • Date: Jul 2013
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Big picture view; Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Publication Name: Reinsurance News
    • Topics: Demography>Mortality - Demography; Demography>Population data; Global Perspectives>Global markets; Modeling & Statistical Methods>Conditional Tail Expectation; Reinsurance>Catastrophe reinsurance