Session: 14

AFIR/ERM

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Summary

In this paper we revisit an economic model of Buhlmann (ASTIN Bulletin, 1980) and derive equilibrium pricing transforms. We obtain the Esscher Transform and the Wang Transform under different sets of assumptions on the aggregate economic environment.

Session: 36

AFIR/ERM

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Summary

There are more to a risk-measure than being coherent. Both the popular VaR and the coherent Tail-VaR ignore useful information in a large part of the loss distribution; As a result they lack incentive for risk-management. I propose a new coherent risk-measure that utilizes information in the whole loss distribution and provides incentive for risk-management.

Dr. Shaun Wang is an Assistant Vice President and Research Director at SCOR Reinsurance Company, where his current responsibilities include enterprise risk management and capital allocation. Before joining the insurance industry in 1997, he was a faculty member of actuarial science at Concordia University and the University of Waterloo, Canada. He is a Fellow of the Casualty Actuarial Society, an Associate of the Society of Actuaries, a member of the American Academy of Actuaries, and a member of the American Risk and Insurance Association. He holds a doctoral degree in statistics from the University of Waterloo.