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Hedging Equity-Linked Products Under Stochastic Volatility Models
Actuarial Research Conference. Summarizes the Heston model, discusses hedging equity indexed annuities ... annuities, and provides numerical results of the Black-Scholes and Heston hedging strategies. Equity-indexed ...- Authors: Anne MacKay
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Arithmetic vs. Geometric Mean Returns
Arithmetic vs. Geometric Mean Returns Discussion of the appropriate use of geometric versus ... vs. Geometric Mean Returns Discussion of the appropriate use of geometric versus arithmetic average returns ...- Authors: Douglas Doll
- Date: Apr 2003
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Product Matters!
- Topics: Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
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Conditional Stochastic Interest Rate Models in Life Contingencies
papers treat the rate of interest as a stochastic process in the determination of values of insurances ... functions. None of these papers consider the current interest rate as a starting point in the model. In this ...- Authors: Harry H Panjer, UNKNOWN David Bellhouse
- Date: Jan 1981
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Projection and Statistical Modeling of Mortality at Late Age Q&A
and Statistical Modeling of Mortality at Late Age Q&A Transcript of the Q&A period from Session ... Session 6A: Projection and Statistical Modeling of Mortality at Late Age Mortality assumption;Mortality ...- Authors: Society of Actuaries
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Experience Studies & Data>Mortality; Global Perspectives; Modeling & Statistical Methods>Deterministic models; Modeling & Statistical Methods>Stochastic models
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2012 AAT Survey Results
2012 AAT Survey Results Survey of appointed actuaries about asset adequacy testing techniques currently ...- Authors: Society of Actuaries
- Date: Nov 2012
- Competency: Professional Values>Practice expertise; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Asset liability management; Life Insurance>Policyholder behavior - Life Insurance; Life Insurance>Reserves - Life Insurance; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models