We analyse four stochastic claims reserving methods in terms of their capability to estimate reserve risk and how … claim triangles support our results. The appropriateness of the Solvency II risk margin on a one-year horizon and of the … IFRS 17 risk adjustment in the long run largely vary by the chosen risk model. Despite the fact that IFRS 17 does not …

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk … factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in … quant trading with much shorter holding horizons is suboptimal: (1) longer horizon risk factors (value, growth, etc …