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Portfolio representation as applied to model points selection for ALM in life insurance
(2018)
[Abstract] The main goal of this work is represented by the study of the constrained portfolio
representation problem. It consists in defining the dynamics of those portfolios within
a certain class that best represents ...
New approaches to quantification and management of model risk
(2018)
[Abstract]
The present contribution facuses on the problem of an objective assessment of model risk in practice. In spite of
the awareness of model risk significance and the regulatory requirements for its proper management, ...