In order to be able to bear the risk they are taking, insurance companies have to set aside a certain amount of cushion that can guarantee the payment of liabilities, up to a dened probability, and thus to remain solvent in case of bad events. This amount ...
In order to determine what areas of research are a clinical priority, a small group of young Gamma Knife investigators was invited to attend a workshop discussion at the 19th International Leksell Gamma Knife Society Meeting. Two areas of interest and the ...
The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors generated by a fa ...
The present work addresses the question how sampling algorithms for commonly applied copula models can be adapted to account for quasi-random numbers. Besides sampling methods such as the conditional distribution method (based on a one-to-one transformatio ...
This paper provides a coherent method for scenario aggregation addressing model uncertainty. It is based on divergence minimization from a reference probability measure subject to scenario constraints. An example from regulatory practice motivates the defi ...
