Content type Date Title Tags
ERM Resource Deriving the optimal amount of Risk Capital for PL Insurance Companies utilising ALM ALMInternal Risk modelNo specific riskportfolio optimisationrisk capitalRisk Management Tools and TechniquesRisk Optimisation
ERM Resource Optimization of Dynamic Portfolio Insurance Model No specific riskPortfolio Insurance; Optimization; Dynamic Replication; Investment StrategyRisk Management Tools and TechniquesRisk Optimisation
ERM Resource Optimization Problems of Excess-of-Loss Reinsurance and Investment under the CEV Model No specific riskReinsurancereinsurance OptimisationRisk Optimisation
ERM Resource Evolutionary Estimation of a Coupled Markov Chian Credit Risk Model Credit and Counterparty RiskCredit RiskCredit risk OptimisationMarkov Chain modelRisk Optimisation
ERM Resource An Analysis of Reinsurance Optimisation in Life Insurance - Working Paper Life Insurancemeanvariance criteria.No specific riskoptimal reinsuranceproportional reinsuranceRisk Optimisation
ERM Resource Risk capital allocation for RORAC optimization? Capital AllocationEconomic / Risk Based CapitalEconomic CapitalEuler allocationGradient allocationNo specific riskrisk capitalRisk OptimisationRORAC
ERM Resource Scenario Optimization for Multi-Stage Stochastic Programming Problems multi-stage stochastic programmingNo specific riskRisk Optimisation
ERM Resource Simplified stage-based modelling of multi-stage stochastic programming problems multi stage stochasticNo specific riskRisk Optimisationstage based stochasticStochastic Programming
ERM Resource Evolutionary Optimization for Decision Making under Uncertainty Evolutionary OptimizationMulti-stage Stochastic Programming.No specific riskOptimal Decision MakingOptimization under UncertaintyRisk OptimisationStochastic Programming
ERM Resource Combined Optimization of Portfolio and Risk Exposure of an Insurance Company ModellingNo specific riskportfolio optimisationrisk averse optimisationRisk Optimisation
ERM Resource Risk-minimising investment strategies conditional value-at-riskconstant proportion portfolio insurancedynamic asset allocationNo specific riskportfolio insuranceRisk Optimisationtime invariant portfolio protectionvalue-at-risk
ERM Resource CVAR proxies for minimizing scenario-based value-at-risk CVaRNo specific riskRisk OptimisationVaR
ERM Resource Risk Return Optimization with Different Risk Aggregation Strategies
Basle Capital Accord (Basel II)Capital AdequacyConditional Value at Risk (CVaR)Internal Capital Adequacy Assessment Process (ICAAP)No specific riskPortfolio optimizationPortfolio Safeguard (PSG)Return on Equity (RoE)Return on Risk Adjusted Capital (RORAC)Risk OptimisationValue at Risk (VaR)
ERM Resource Optimising Life Reinsurance strategy under risk-based capital measures Economic / Risk Based CapitalNo specific riskReinsurance strategyRisk appetiteRisk OptimisationRisk-based frameworks
ERM Resource Optimization Models for Insurance Portfolio Optimization in the Presence of Background Risk No specific riskOptimization models; insurance portfolio optimization; background riskreplicating portfolioRisk Management Tools and TechniquesRisk Optimisation