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Scenario Optimization for Multi-Stage Stochastic Programming Problems

Scenario Optimization for Multi-Stage Stochastic Programming Problems Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22   The field of multi-stage stochastic programming provides a rich modelling framework to tackle a broad range of real-world …
Last updated: 30 Nov 2016
ERM Resource

Evolutionary Optimization for Decision Making under Uncertainty

Evolutionary Optimization for Decision Making under Uncertainty Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 Optimizing decision problems under uncertainty can be done using a variety of solution methods. Soft computing and heuristic approaches …
Last updated: 30 Nov 2016
ERM Resource

Evolutionary Estimation of a Coupled Markov Chian Credit Risk Model

Evolutionary Estimation of a Coupled Markov Chian Credit Risk Model Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 There exists a range of different models for estimating and simulating credit risk transitions to optimally manage credit risk …
Last updated: 30 Nov 2016
ERM Resource

Risk capital allocation for RORAC optimization?

Risk capital allocation for RORAC optimization? Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 This paper considers the financial optimization problem of a firm with several sub-businesses striving for its optimal RORAC. An insightful example …
Last updated: 30 Nov 2016
ERM Resource

Optimization of Dynamic Portfolio Insurance Model

Optimization of Dynamic Portfolio Insurance Model Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22   This paper establishes a dynamic portfolio insurance model under the condition of continuous time, based on Meton’s optimal investment-consumption …
Last updated: 30 Nov 2016
ERM Resource

Asset Liability Management Risk Optimisation of Insurance Portfolios

Asset Liability Management Risk Optimisation of Insurance Portfolios Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 Many insurance company and pension portfolios are risk inefficient. This means for a given level of risk, the financial objectives …
Last updated: 30 Nov 2016
ERM Resource

Understanding and communicating Risk appetite

Understanding and communicating Risk appetite Submitted by TheSecretariat on Wed, 29/07/2015 - 13:29 Organizations encounter risk every day as they pursue their objectives. In conducting appropriate oversight, management and the board must deal with a …
Last updated: 30 Nov 2016
ERM Resource

How Key Risk Indicators can Sharpen Focus on Emerging Risks

How Key Risk Indicators can Sharpen Focus on Emerging Risks Submitted by TheSecretariat on Wed, 29/07/2015 - 13:29 Boards of directors have become increasingly aware of their responsibilities related to effective oversight of managements execution of …
Last updated: 30 Nov 2016