Risk-adjusted economic value analysis

North American Actuarial Journal

Volumn 2, Issue 1, 1998, Pages 87-98

  Longley Cook, Alastair G ^a  

^a Corporate Actuary ^*  (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011206257     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.1998.10595678     Document Type: Article

References (27)

1. Altman, E.I., and Vanderhoof, I.T. Ed. 1997. Fair Value of Insurance Liabilities. Homewood, Ill.: Irwin Press, in press.
2. Babbel, D.F., and Santomero, A.M. 1996. “Risk Management by Insurers: An Analysis of the Process,” Risk Management in Insurance Firms Seminar, Wharton Financial Institutions Center, Wharton School, University of Pennsylvania, Philadelphia, Penn., May.
3. Bankers Trust. 1995. RAROC™ & Risk Management, Quantifying the Risks of Business. New York.
4. Becker, D.N. 1995. “The Value of the Firm: The Option Adjusted Value of Distributable Earnings,” in Fair Value of Insurance Liabilities, conference presented by New York University Salomon Center and the Society of Actuaries, December 7–8, 1995, New York University Stern School of Business, Book 2, pp. 1–85.
5. Beder, T.S. 1995. “VAR: Seductive but Dangerous,” Financial Analysts Journal 51, no. 5 (September/October): 12–24.
6. Bodie, Z., Et Al. 1996. Investments. Homewood, Ill.: Irwin.
7. Bowers, N.L., Jr., Et Al. 1986. Actuarial Mathematics. Itasca, Ill.: Society of Actuaries.
8. Collins, S.A. 1995. “Using Core Skills in Value Added Analysis,” The Actuary 29, no. 2 (February):1,4.
9. Copeland, T.E., and Weston, J.F. 1988. Financial Theory and Corporate Policy. Reading, Mass.: Addison-Wesley.
10. Cox, R., and Roberts, K. 1996. “Value-at-Risk Approach to the Enterprise,” presentation at GAT Fixed Income Conference, March 18.
11. Fabozzi, F.J. 1991. The Handbook of Fixed Income Securities, 3rd ed. Homewood, Ill.: Richard D. Irwin.
12. Friend, I., and Blume, M. 1975. “The Demand for Risky Assets,” American Economic Review 64 (December):900–22.
13. Grossman, S.J., and Shiller, R.J. 1981. “The Determinants of the Variability of Stock Market Prices,” American Economic Review 71:222–77.
14. Hoel, P.G. 1966. Introduction to Mathematical Statistics. New York: John Wiley & Sons, Inc.
15. Ibbotson Associates. 1996. SBBI, 1996 Yearbook, Market Results For 1926–1995. Chicago, Ill., pp. 180–219.
16. Ingersoll, J.E., Jr. 1987. Theory of Financial Decision Making. Totowa, N.J.: Rowman & Littlefield.
17. Jensen, M.C., and Meckling, W.H. 1976. “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure,” Journal of Financial Economics 3:305–57.
18. J.P. Morgan. 1995a. Riskmetrics™ Introduction to Risk-Metricse, 4th ed. New York, available from riskmetrics@ jpmorgan.com.
19. J.P. Morgan. 1995b. RiskMetrics™—Technical Document, 3rd ed., New York, available from riskmetrics@jpmorgan.com.
20. Longley-Cook, A.G. 1983. “REROSHE: The Concept of a Risk-Free Equivalent Return on Shareholder’s Equity,” Transactions of the Society of Actuaries 35:321–56.
21. Markowitz, H.M. 1959. Portfolio Selection, Efficient Diversification of Investments. New York: John Wiley & Sons.
22. Morgan, M.G. 1993. “Risk Analysis and Management,” Scientific American (July):32–41.
23. Rubenstein, M. 1976. “The Strong Case for the Generalized Logarithmic Utility Model as the Premier Model of Financial Markets,” Journal of Finance 31:551–71.
24. Salomon Brothers, Inc. 1996. Analytical Record of Yields and Yield Spreads. New York.
25. Trowbridge, C.L. 1989. Fundamental Concepts of Actuarial Science. Itasca, Ill.: Actuarial Education and Research Fund.
26. “Value Added Method Tracks Good Management,” 1995. Dow Theory Forecasts 51, no. 38 (September 18):1,4–6.
27. Wilson, T. 1995. “Plugging the Gap,” RISK 7, no. 10 (October).