Handbook of Solvency for Actuaries and Risk Managers Theory and Practice Chapman Hall Crc Finance Series 1st Edition by Arne Sandstrom ISBN 1439821305 9781439821305

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ISBN 10: 1439821305
ISBN 13: 9781439821305
Author: Arne Sandstrom

Handbook of Solvency for Actuaries and Risk Managers Theory and Practice Chapman Hall Crc Finance Series 1st Table of contents:

Part A Solvency Introduction
Chapter 1 Solvency
Chapter 2 A Historical Review
classical approach
fluctuation in aggregate claims and ruin theory
combined ratios and other ratios
change in the capital position
multidimensional systems
economic approach
european solvency ii project
basic architecture of solvency ii
general ideas
valuation and investment
standard formula of scr and mcr
Chapter 3 Managing Risks and the Enterprise
stepping stones to managing assets and liabilities
risk management and alm
model office tools
tools to manage asset-liability interactions
cash-flow testing
immunization
cash-flow matching
asset-liability managing
simulation tools and testing
dfa tools
enterprise risk management
coso’s definition of erm
soa’s definition of erm
erm-ii-cas-soa definition
iais erm standards and guidance
iaa’s note on iais’ key features
eu solvency ii erm approach
the financial crisis and erm
Chapter 4 Summary of the Development of ERM and Solvency
Chapter 5 Elements of Solvency Assessment Systems
iais capital requirements standards and guidance
modeling capital requirement
general structure
diversification and mitigation
valuation of assets and liabilities
conservative valuation regimes

Part B Valuation, Investments, and Capital
Chapter 6 Total Balance Sheet Approach
market–consistent valuation
time value of money
present value
discounting rates
long maturities and liquidity considerations
liquidity premium
hedging
risk margins
accounting
Chapter 7 Asset Valuation
asset risk margin: a deduction of nonhedgeable assets
Chapter 8 Liability Valuation
ce of liabilities
discretionary participating features (dpf)
valuation techniques
replicating portfolios
valuation portfolio
vapo for life insurance
vapo for nonlife insurance
some general aspects on the vapo technique
valuating the liabilities
lrm: an addition to nonhedgeable liabilities
coc approach to estimate the rm
example from cea (2006a)
other liabilities
Chapter 9 Other Valuation Issues
risk mitigation
in-house risk mitigation
pooling
diversification
hedging/offsetting risks
external risk mitigation
reinsurance
alternative risk transfer
hedging
risk enhancing
segmentation
Chapter 10 Investments and Own Funds
investments
prudent person rule
available capital: eligible own funds
Chapter 11 Accounting Valuation
background
international developments
insurance contracts, revenue recognition, and financial instruments
service contracts
financial instruments
insurance contracts
an estimate of the future cash flows
effect of the time value of money
a margin: iasb’s discussion
a margin: discussions by iais and iaa

Part C Modeling and Measuring
Chapter 12 Developing a Model
analytic approximation of an exact model
first approximation of the exact model
second approximation of the exact model
linearization
homogeneous functions
euler’s theorem
corollary to euler’s theorem
nonlinear approximations
second-order approximation
higher-order functions
quadratic approximation
higher-order approximation
risk models
homogeneous models of degree one
second-order risk models
Chapter 13 Dependence
dependence structure
more on copulas and dependence
dependence strength: rank correlation
spearman’s rho
kendall’s tau
tail dependence
copula classes and families
copula class: archimedean
copula class: elliptical
other classes of copulas
extreme-value copulas
the marshall-olkin copulas
fréchet copulas
farlie-gumbel-morgenstern
a summary
estimation and testing
empirical copula
estimating dependence
estimating copula families
goodness-of-fit tests
estimating regression functions
Chapter 14 Risk Measures
properties of risk measures
families of risk measures
stone’s three-parameter family of risk measures
pedersen and satchell’s five-parameter family of risk measures
expected utility theory-based risk measures
distorted risk measures
other types of risk measure classifications
moment-based risk measures
tail-based measures: measures of shortfall risks
generalized moments
var and tvar
assuming nonnormality
value-at-risk
variance of a var estimator
tvar
variance of a tvar estimator
tabled distance functions
summary of the merits of var and tvar
concentration measures

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Tags: Arne Sandstrom, Solvency, Risk Managers