Modelling
Economic turmoil taxes market risk models
Original headline:
Managing market risk is a key issue for life insurers. Clive Davidson looks at the challenges they face in modelling this risk and how the assumptions that underpin their models are changing in response...
Original headline:
Extreme market volatility continues to make life hard for insurers. The eurozone rumbles on without any clear sign of resolution and the threats of a Greek default and wider contagion still loom ominously....
Original headline:
The markets classically assumed by quantitative finance trade continuously, are frictionless, infinitely deep and liquid, and often normally distributed – a fiction so enchanting that many modellers...
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More Modelling articles
Cutting Edge introduction: requiem for a probabilist
Original headline:
The already challenging task of calibrating stochastic volatility models becomes even more complex when rates are random too. But an efficient Monte Carlo approach can be found – by using an esoteric, but neglected, stochastic calculus. Laurie Carver...
How insurers are dealing with internal model validation
Original headline:
Model validation is a key element for internal model approval under Solvency II, but it is one of the most demanding. Clive Davidson reports on how insurers are meeting the challenge
Alternative liability modelling techniques
Original headline:
A recent study in the US by the Society of Actuaries and Ernst & Young has examined the effectiveness of a range of new liability modelling techniques. Clive Davidson reports on the results of the tests
Insurers look to optimise curve-fitting technique
Original headline:
Curve fitting is one of the most popular approximation methods to value liabilities. But it has limitations and insurers are working hard to optimise the technique, reports Clive Davidson
Quant Congress Europe: Peter Carr introduces ‘meta-modelling’
Published online only
Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
Why insurers are turning to the least squares Monte Carlo modelling...
Original headline:
The least squares Monte Carlo method of stochastic modelling is fast being adopted by insurers due to its simplicity and accuracy
IMF modelling work on liquidity risk points to capital hike, says Jobst...
Published online only
Recent analysis by the International Monetary Fund indicates that banks in the US need to raise capital to cover systemic liquidity risk threats
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