Search

Risk-Based Capital (RBC) Premium Risk Charges Improvements to Current Calibration Method Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 The purpose of this paper is to describe the results of research on methods to improve the Current Calibration …

One-year reserve risk including a tail factor:closed formula and bootstrap approaches Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 In this paper, we detail the main simulation methods used in practice to measure one-year reserve risk, and …

Evolution of Loss Reserve Risk Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 While multiple standard actuarial methods exist for evaluating the adequacy of reserves, little information exists on how deficiencies evolve over time. No risk models …

Calibration of the Premium and Reserve Risk Factors in the Standard Formula of Solvency II Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 When delivering its advice for Level 2 measures, EIOPA (CEIOPS successor from January 2011) committed to …

A Practical Way to Estimate One-year Reserve Risk Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 The advent of Solvency II has sparked interest in methods for estimating one-year reserve risk. This paper provides a discussion of the one-year view …

Reserve Risk Dependencies under Solvency II and IFRS 4 perspective Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 In modern times, in particular under Solvency II, SST and IFRS 4 perspective, it is required to specify the uncertainty corresponding …

Kurtosis and skewness estimation for non-life reserve risk distribution Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 ? Reserve risk distribution What do we know ? ? Skewness and kurtosis Some basic properties ? Reserve risk distribution A …

Reserve Risk Modelling: Theoretical and Practical Aspects Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 - Basic concepts: uncertainty when forecasting - A stochastic reserving model: Macks model - Analytic - Using bootstrapping -The 1 year view …

Forward and spot exchange rates Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 There is a general consensus that forward exchange rates have little if any power as forecasts of future spot exchange rates. There is less agreement on whether forward …

Exchange Rate Risk Measurement and Management: Issues and Approaches for Firms Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Measuring and managing exchange rate risk exposure is important for reducing a firms vulnerabilities from major exchange …

New Supervisory Guidance on Model Risk Management Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 It has been over ten years since federal regulators issued the first guidance to the banking industry on managing model risk through independent …

Liquidity Risk and Contagion Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 This paper explores liquidity risk in a system of interconnected financial institutions when these institutions are subject to regulatory solvency constraints and mark …