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 Yearling
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Apr
14
comment Standard Formula for Solvency II
Have you googled "introduction to Solvency II" or similar terms? This should give you plenty of general information.
Apr
2
awarded  Yearling
Apr
2
answered What does “convergence” in Monte Carlo simulation mean?
Mar
6
comment What does tradable asset mean?
Yes, my first thought was cash but I removed it. What is cash? If you think of physical notes made from paper then those would not fulfill the requirements of tradable assets. So a tradable asset should be electronic at least. And in comparison to S&P futures, where would the funds for a trade in those come from? But it is clear that bank deposits imply credit risk and this limits tradability. I am no expert on these more payment and settlement related questions and open to better suggestions. It might even make a good followup question.
Mar
6
awarded  Editor
Mar
6
revised What does tradable asset mean?
deleted 6 characters in body
Mar
6
reviewed Needs Improvement How to get Multivariate Betas from an Estimated EWMA co variance Matrix?
Mar
6
reviewed Needs Improvement Black Scholes formula with continuous dividend paying stock
Mar
6
reviewed Satisfactory CIR model: is the short rate really non-central $\chi^2$ distributed?
Mar
6
reviewed Needs Improvement How to compute the VaR for European Call, using the delta-normal method?
Mar
6
reviewed Satisfactory How to obtain a log of all trades done on the Nasdaq or other major US exchange?
Mar
6
awarded  Custodian
Mar
6
reviewed Satisfactory Why is there onshore and offshore currency?
Mar
6
answered What does tradable asset mean?
Mar
3
comment What to use as portfolio diversification measure?
I agree with SRKX but would even go one step further. It does not make a lot of sense (at least to me) to discuss diversification unless you specify a risk measure. Then the perfectly diversified portfolio is one which minimises your particular risk measure.
Feb
7
comment Get distribution for aggregate loss using Monte Carlo
I am still not sure I understand because what you seem to want sounds somewhat unusual. Normally people fit frequency and severity and then simulate exactly to avoid doing a fit to the aggregate distribution. Why do you need a parametric representation of the aggregate losses, if you can simulate them?
Feb
6
comment Get distribution for aggregate loss using Monte Carlo
And by the way, given that losses from operational risk often are very heavy tailed, I would consider carefully whether a distribution for such losses should have finite variance
Feb
6
comment Get distribution for aggregate loss using Monte Carlo
Your question is not clear to me, what do you want to know: 1. Do you want to know how to do a Monte-Carlo simulation given a frequency and severity distribution? 2. Do you want to know how to calibrate a specific parametric distribution to your data at hand? Or do you want to know how to choose such a parametric distribution in the first place?
Jan
29
comment Which sports are generally the best for trading on betting exchanges for a profit?
Interesting read and good advice for beginners. Some of it should generalise to betting on other underlyings as well.
Jan
19
answered Longevity risk modelling