Dribs and Drabs

The author hereby agrees to cover each and every topic that caught his attention.

論文

[論文]"Analyzing The Disconnect Between The Reinsurance Submission And Global Underwriter's Needs"

CASとIFOAとのワーキンググループが発表したレポート。再保険のサブミッションに含まれている情報と,再保険アンダーライターがプライシングに求める情報とのあいだには,開きがある。そのアンダーライターのニーズを理解し,適切な情報を提供することで,最…

[論文]ETH "The Loss Given Default in Credit Insurance: Summary"

ETH "The Loss Given Default in Credit Insurance: Summary"http://www.cs-pml.org/images/document/CS-PML-Summary-2008-09-23.pdf (Abstract)The present PML study investigates the loss given default (LGD) in the trade credit insurance market for…

[論文]保険会社の収益性についてのファクターモデルはあるのか?

投資理論における,ファーマ=フレンチの3ファクターモデルについての記述を読んでいて,保険会社の収益性についてもファクターモデルのようなものが考えられるんじゃないか,と思ってググったら,こんな実証研究のペーパーが見つかりました。 Hifza Malik, …

[論文]吉羽要直「ストレス状況を勘案した相関構造とリスク合算」

日本銀行ワーキングペーパーシリーズ 2013年 > (論文)ストレス状況を勘案した相関構造とリスク合算http://www.boj.or.jp/research/wps_rev/wps_2013/wp13j04.htm/ 要旨 金融機関の多くでは、株式と債券を含む有価証券ポートフォリオの市場リスク量を計算す…

[論文]高スキル労働者の転職行動|日銀

永沼早央梨「高スキル労働者の転職行動」http://www.boj.or.jp/research/wps_rev/wps_2014/wp14j03.htm/ 要旨 本稿では、高スキル労働者として「技術職」、「専門職」、「管理職」の3職種に着目し、近年の転職動向について事実整理を行った上で、転職パター…

[論文]Calder, et al. "Cat Model Blending" - 6. Works Cited

"Cat Model Blending - Techniques and Governance"Alan Calder, Andrew Couper, Joseph Lo, Aspen (Respectively, Group Head of Catastrophe Risk Management, Chief Actuary and Chief Risk Officer of Aspen Bermuda, and Head of Actuarial Research & …

[論文]Calder, et al. "Cat Model Blending" - 5. Final Words

"Cat Model Blending - Techniques and Governance"Alan Calder, Andrew Couper, Joseph Lo, Aspen (Respectively, Group Head of Catastrophe Risk Management, Chief Actuary and Chief Risk Officer of Aspen Bermuda, and Head of Actuarial Research & …

[論文]Calder, et al. "Cat Model Blending" - 4. Governance

"Cat Model Blending - Techniques and Governance"Alan Calder, Andrew Couper, Joseph Lo, Aspen (Respectively, Group Head of Catastrophe Risk Management, Chief Actuary and Chief Risk Officer of Aspen Bermuda, and Head of Actuarial Research & …

[論文]Calder, et al. "Cat Model Blending" - 3. A Technical Solution

"Cat Model Blending - Techniques and Governance"Alan Calder, Andrew Couper, Joseph Lo, Aspen (Respectively, Group Head of Catastrophe Risk Management, Chief Actuary and Chief Risk Officer of Aspen Bermuda, and Head of Actuarial Research & …

[論文]Calder, et al. "Cat Model Blending" - 2. Catastrophe Model Blending

"Cat Model Blending - Techniques and Governance"Alan Calder, Andrew Couper, Joseph Lo, Aspen (Respectively, Group Head of Catastrophe Risk Management, Chief Actuary and Chief Risk Officer of Aspen Bermuda, and Head of Actuarial Research & …

[論文]Calder, et al. "Cat Model Blending" - 1. Introduction

"Cat Model Blending - Techniques and Governance"Alan Calder, Andrew Couper, Joseph Lo, Aspen (Respectively, Group Head of Catastrophe Risk Management, Chief Actuary and Chief Risk Officer of Aspen Bermuda, and Head of Actuarial Research & …

[論文]Calder, et al. "Cat Model Blending - Techniques and Governance" - 全体像

"Cat Model Blending - Techniques and Governance"Alan Calder, Andrew Couper, Joseph Lo, Aspen (Respectively, Group Head of Catastrophe Risk Management, Chief Actuary and Chief Risk Officer of Aspen Bermuda, and Head of Actuarial Research & …

[論文]Venter, et al. "Value of Risk Reduction"

Gary Venter, Alice Underwood "Value of Risk Reduction"http://www.casact.org/pubs/forum/12fforumpt2/Venter-Underwood.pdf 概要 「なぜコストをかけてまでリスク削減を行なうのか?」「リスク削減の価値は?」というシンプルな問いに向かう記事.もとも…

[論文]"Reinsurance Credit Risk: A Market-Consistent Paradigm for Quantifying the Cost of Risk"

Neil Bodoff "Reinsurance Credit Risk: A Market-Consistent Paradigm for Quantifying the Cost of Risk"http://www.variancejournal.org/issues/07-01/11.pdf ABSTRCT: Property-casualty insurance companies tend to by reinsurance; when they do, the…

[論文]"An Integrated Dynamic Financial Analysis and Decision Support System For a Property Catastrophe Reinsurer"

Stephen P. Lowe, James N. Stanard "An Integrated Dynamic Financial Analysis and Decision Support System For a Property Catastrophe Reinsurer"http://www.actuaries.org/LIBRARY/ASTIN/vol27no2/339.pdf ABSTRACT: This paper describes the dynamic…