Search Results
Using nested stochastic modelling for capital calculation
The previous five articles in this series looked at how you might use liability proxy methods to approximate and accelerate a nested stochastic calculation. Full nested stochastic simulation, the brute force approach to capital calculation, is beginning to come within the reach of many insurers, usually with a significant investment in hardware parallelisation. Even then, there are decisions that need to be made, pitfalls to avoid and clever tricks to make a nested stochastic calculation more efficient, as Adam Koursaris explains.
Swedish insurer selects Barrie & Hibbert ESG
Barrie & Hibbert continues push into Nordic market
Barrie & Hibbert wins Norwegian insurer clients
DnB NOR Group subsidiaries take economic scenario generator
Guide to economic scenario generators
Regulatory change and the proliferation of guarantee products have driven the development of a range of economic scenario generators (ESGs). Here's a detailed look at the different approaches of 11 such models, based on responses from their producers and providers to an InsuranceERM questionnaire.
SunGard and Barrie & Hibbert extend collaboration
iWorks Prophet functionality expanded
Barrie & Hibbert wins ESG contract
Extends modelling firm's presence in France
Using replicating portfolios to calculate capital
In the previous article in this series (A primer in replicating portfolios), Adam Koursaris explored a set of useful principles for replication -- general facts that govern the use of replicating portfolios in asset-liability modelling. Now he examines practical aspects of RPs in insurance capital calculation.
A primer in replicating portfolios
In his previous three articles in this series, Adam Koursaris looked at different methods that could be used to calculate the solvency capital requirement (SCR) where companies face an inherently nested stochastic problem. He now focuses on the replicating portfolio (RP) technique.
Barrie & Hibbert and Milliman collaborate
Link will provide "broader" ALM solution.
Moody's Analytics partners on economic scenarios
Collaborates with modeling firm Barrie & Hibbert on Solvency II scenarios.