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Model uncertainty in risk capital measurement Submitted by Anonymous (not verified) on Thu, 07/09/2017 - 21:33 The required solvency capital for a financial portfolio is typically given by a tail risk measure such as Value-at-Risk. Estimating the value of …

Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach Submitted by Anonymous (not verified) on Thu, 07/09/2017 - 21:33 At large financial institutions, operational risk is gaining the same importance as market and …

A Cost of Capital Approach to Credit and Liquidity Spreads Submitted by Anonymous (not verified) on Thu, 07/09/2017 - 21:33 The market cost of capital approach has emerged as the standard for estimating risk margins for insurers’ fair value balance …

Economic Capital: An Alternate Copula-Free Approach Submitted by Anonymous (not verified) on Thu, 07/09/2017 - 21:33 Economic capital models are getting increasingly complex. An alternate copula-free approach is presented that uses accounting data and an …

A Shortcut to Calculating Return on Required Equity and Its Link to Cost of Capital Submitted by Anonymous (not verified) on Thu, 07/09/2017 - 21:33 An insurance product’s return on required equity demonstrates how successfully its results are covering …

Down but Not Out: A Cost of Capital Approach to Fair Value Risk Margins Submitted by Anonymous (not verified) on Thu, 07/09/2017 - 21:33 The Market Cost of Capital approach is emerging as a standard for estimating risk margins for non-hedgeable risk on an …

Risk, Uncertainty, and Profit for the Cyber Era: 'Knight Reconsidered' Submitted by Anonymous (not verified) on Thu, 07/09/2017 - 21:33 Quantitative modelling of cyber risk for cyber insurance modelling is at a nascent stage characterized by sparse …

A methodological framework and tool for assessing the climate change related risks in the banking sector Submitted by Anonymous (not verified) on Thu, 07/09/2017 - 21:33 Although climate change risks have been studied for a number of economic sectors, …

Analysis On The Risk Of Ebola Submitted by Anonymous (not verified) on Thu, 07/09/2017 - 21:33 This is an analysis on an evaluation of the mortality and morbidity risk of Ebola to life and health insurance companies1. The actuarial profession has played …

Cyber Risk: A Big Challenge in Developed and Emerging Markets Submitted by Anonymous (not verified) on Thu, 07/09/2017 - 21:33 The dependence on cyberspace has considerably increased over time, as such, people look at risk associated with cyber …

2016 AFP Risk Survey: Report of Survey Results Submitted by Anonymous (not verified) on Thu, 07/09/2017 - 21:33 It isn’t getting any easier. That is the clear message from this year’s annual risk survey. The business environment remains challenging with …

Reinsurance and Emerging Risks Submitted by Anonymous (not verified) on Thu, 07/09/2017 - 21:33 Cybersecurity, nanotechnology, genetically altered crops, and climate change are all examples of emerging risks. Emerging risks are exposures that have arisen …