Description: Economic risk analysis has two dimensions: time and frequency. Asset return varies by time because of economic cycles and economic structural changes. Risk is higher during economic recessions and smaller during economic expansions. In addition, different economic structures may exist at different time scales. Risk measures calculated based on daily, weekly, monthly and yearly historical data can be very different. The appropriate frequency depends on the time horizon of the analysis. Therefore, it is important to measure economic risk at both the time level and the frequency level. However, time series analysis and statistical analysis that have been widely adopted in economic risk analysis focus on only one of the two dimensions. In this paper, wavelet models are used to enhance both time‐invariant analysis and time‐variant analysis. Wavelet models can systematically analyze risk by time and frequency and provide richer information than time series models. Using wavelet models, risk measurement can easily be adjusted based on time horizon in a consistent way. Equity VaR estimation is selected to demonstrate the application of wavelet analysis in risk management.

Description: One of the most fundamental concepts in actuarial practice is the time value of money. For any work in which future cash flows are allowed for, such as reserving or pricing, it is natural to discount to present values so that an appropriate amount of money can be set aside today, allowing for future investment returns. This article discusses yield curve extrapolation methods along with the benefits and drawbacks of these methods.

Description: The article provides an update on the 2019 ERM Symposium with regard to date, location and content (General Sessions and Concurrent Sessions).

Description: The second of three articles exploring the new technology offered by Santa Fe, New Mexico-based Assuratech, Inc. Describes the development of the applied complex adaptive systems technology behind Assuratech’s highly sophisticated program that uses simulation and data mining techniques for accurate, reliable versatile risk modeling.

Description: This article discusses Asset-Backed Securities as a low volatility alternative to Intermediate Government Bonds.

Description: This article provides key insights and data samples about various approaches to pension investing. Article from Risk and Rewards, August 2006, Issue No. 48.

Description: This article discusses facts and issues related to the selection of a stock’s price distribution.

Description: Help readers to focus on self wisdom.

Description: This article is a general discussion about earnings rates and toll charges and how to compute them.

Description: This article is a general discussion about prior correction procedures for failed life insurance contracts and the new IRS procedure for remediation.