VALUE-AT-RISK, RISK-BASED SURPLUS, AND
C-3 RISK-BASED CAPITAL
MR. DOUGLAS A. GEORGE: This session is on value-at-risk (VAR), risk-based surplus, and
the C-3 component of the risk-based capital (RBC) formula. There are a couple of ways this session
is different from many of the sessions we have at the Valuation Actuary Symposium. One of them
is that the sessions usually concentrate on only a regulatory component or only on a quantitative
analysis; this session is a mix between the two. Although there's a mix, I think there is a lot of
synergy or overlap between the different topics. Value-at-risk and risk-based surplus are very
related, as we will see. Also, the approach to the C-3 component of RBC is a quantitative approach.
We're moving towards a more quantitative methodology for valuing the component.
VALUE-AT-RISK, RISK-BASED SURPLUS, AND
C-3 RISK-BASED CAPITAL
MR. DOUGLAS A. GEORGE: This session is on value-at-risk (VAR), risk-based surplus, and
the C-3 component of the risk-based capital (RBC) formula. There are a couple of ways this session
is different from many of the sessions we have at the Valuation Actuary Symposium. One of them
is that the sessions usually concentrate on only a regulatory component or only on a quantitative
analysis; this session is a mix between the two. Although there's a mix, I think there is a lot of
synergy or overlap between the different topics. Value-at-risk and risk-based surplus are very
related, as we will see. Also, the approach to the C-3 component of RBC is a quantitative approach.
We're moving towards a more quantitative methodology for valuing the component.
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