Browsing Statistics and Actuarial Science by Subject "capital allocation"

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Estimation and allocation of insurance risk capital

Kim, Hyun Tae (University of Waterloo, 2007-05-15)

Estimating tail risk measures such as Value at Risk (VaR) and Conditional Tail Expectation (CTE) is a vital component in financial and actuarial risk management. The CTE is a preferred risk measure, due to coherence and ...
Multivariate Risk Measures for Portfolio Risk Management

Jia, Huameng (University of Waterloo, 2021-01-29)

In portfolio risk management, the main foci are to control the aggregate risk of the entire portfolio and to understand the contribution of each individual risk unit in the portfolio to the aggregate risk. When univariate ...
Toward a unified global regulatory capital framework for life insurers

Sharara, Ishmael (University of Waterloo, 2011-03-07)

In many regions of the world, the solvency regulation of insurers is becoming more principle-based and market oriented. However, the exact forms of the solvency standards that are emerging in individual jurisdictions are ...