Archimedean copulas derived from utility functions

Archimedean copulas are an important subclass of dependency models, while risk attitude of individuals is usually modelled by means of a utility function that is increasing and convex in terms of wealth. This publication explores the relationship between Archimedean copulas and utility functions, thus enhancing the interpretation of Archimedean copulas and therefore informing the risk modeller choosing the most appropriate copula.

Updated: 10/12/2014
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Views: 401

Strategic Asset Allocation - the search for a robust asset mix

On 18 September, Chris Wagstaff, Senior Visiting Fellow, Finance Faculty, presented his thoughts on the importance of the Strategic Asset Allocation (SAA) decision to defined benefit pension schemes at the annual MN Investment Strategy Forum in London.

Updated: 22/09/2014
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Views: 787

Reinsurance Trading in Lloyd's of London - balancing conflicting demands and responsibilities

Author(s):

Michael Smets

 et al.

Modern organisations increasingly have to find a balance between competing demands on their operations. A joint study by Cass Business School and Saïd Business School looked at how underwriters with Lloyd's of London successfully meet the conflicting demands of various stakeholder groups.

Updated: 10/09/2014
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Views: 1,591

A UK Equity Bank - how it could help provide income security to an ageing population

Author(s):

Les Mayhew

 et al.

With increased longevity and new regulation an ageing UK population may find their income from pensions inadequate. Research by Cass Business School proposes a state-owned equity bank to help older people release equity from their property in a more efficient and less complex way than currently available.

Updated: 11/08/2014
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Views: 989

Underperformance rife among active mutual fund managers

Almost all active fund managers fail to outperform the market once fees are extracted from returns, according to new research from Cass Business School.

Updated: 18/06/2014
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Views: 2,567

Global Reinsurance Masterclass Series: 7. Imagining the future; Stay ahead in the reinsurance game through scenario planning

This Masterclass is designed to help reinsurers take control of their future through the foresight technique of scenario planning. This practical managerial tool enables companies in the field of risk management to assess any external uncertainties and develop strategies in accordance.

Updated: 24/01/2014
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Views: 2,906

A non-parametric visual test of mixed hazard models

Mortality models are increasingly used to answer a number of pension related questions. This executive summary describes the development of a visualisation technique useful for the individual assessment of the quality of a mortality model.

Updated: 03/01/2014
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Views: 2,031

Pension Scheme Governance in a Risk-Focused World

A new study published by BNY Mellon, the global leader in investment management and investment services, in association with Cass Consulting presents a framework to help trustees better navigate the complexities of today's risk-focused world.

Updated: 22/10/2013
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Views: 2,188

Global Reinsurance Masterclass series: 6. Intelligent Matchmaking

This Masterclass outlines the traditional sources of brokers' value and remuneration, and explores how current industry dynamics challenge the traditional model.

Updated: 16/10/2013
Comments:
Views: 1,718