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Currency Risk Models in Insurance: A Mathematical Perspective
actuaries dealing with global risk which includes valuation of currency derivatives [forwards, futures, options ... claim size, valuation of individual insurance contracts written in foreign currency, and valuation of general ...- Authors: Samuel Cox, Hal Warren Pedersen
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Catastrophe Risk Bonds
Catastrophe Risk Bonds This paper examines the pricing of catastrophe risk bonds. Catastrophe ... its relationship to the standard arbitrage-free valuation framework. Equilibrium pricing theory is used ...- Authors: Samuel Cox, Hal Warren Pedersen
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Arbitrage-Free Pricing of Interest-Rate Contingent Claims
Arbitrage-Free Pricing of Interest-Rate Contingent Claims This paper discusses the pricing of ... certain cash flows is the market price. Asset valuation;Corporate bonds;Government bonds;Interest rate ...- Authors: Elias Shiu, Application Administrator, Hal Warren Pedersen
- Date: Oct 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value
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Obesity and its Relation to Mortality Costs
researchers use these BMI-based definitions, as shown in Table 1. In this review, we will use these definitions ... its Relation to Mortality and Morbidity Costs Table 1 Centers for Disease Control and Prevention BMI ...- Authors: Donald Behan, Samuel Cox, Jeffrey S Pai, Hal Warren Pedersen, Ming Yi, Yijia Lin
- Date: Dec 2010
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Experience Studies & Data>Morbidity; Experience Studies & Data>Mortality
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Proposed 2006 Spring Meetings Session Descriptions for the E&R Sessions
Proposed 2006 Spring Meetings Session Descriptions for the E&R Sessions Descriptions for proposed ... Meetings. ; <!-- InstanceBeginEditable name="Table" --> by Hal Warren Pedersen, ASA, Ph.D These are ...- Authors: Hal Warren Pedersen
- Date: Jan 2006
- Publication Name: Expanding Horizons
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Session 081: Economic Scenario Generation for Life, Pension and P&C Applications
Generator • Real World • Real probability – Individual paths and statistical metrics are meaningful ... Term • Riders • Risk Neutral • Option pricing • Valuation of option-like products Calibration issues ...- Authors: Daniel B Finn, Hal Warren Pedersen, David Schraub
- Date: Feb 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Risk measurement - ERM; Finance & Investments; Finance & Investments>Economic Scenario Generators
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Dynamic Spanning of Contingent Claims
main focus of the literature dealing with the valuation of contingent claims is on characterising the ... that underlie the theory of contingent claims valuation then an understanding of the role that these ...- Authors: Hal Warren Pedersen
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Setting Credit Risk Limits
the risk of our bonds through the Securities Valuation Office (SVO) rating process. That's important ... correlations between these default probabilities at the individual issuer level. Here is how we compute the correlations ...- Authors: Scott S Hartz, Jack Z Reichman, Hal Warren Pedersen, Mark C Abbott, Nikunj Kapadia
- Date: Oct 2002
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Portfolio management - Finance & Investments
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An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators
or they can be adjusted to accom- modate an individual investor's subjective views. The arbitrage-free ... markets; relative prices that do not depend on individual investors' subjective views or risk prefer- ...- Authors: Michael F Davlin, Merlin F Jetton, James A Tilley, Hal Warren Pedersen
- Date: Oct 1992
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Stochastic models
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Highlights From “COVID-19: Implications for Capital Markets and Investment Modeling” Town Hall and Some Additional Commentary
from all causes can be summarized as shown in Table 1. At the time of this writing, May 5, 2020, the ... 503 7,708 0.732% 2018 2,839,205 7,779 0.724% Table 1 U.S. Deaths Per Day Figure 2 U.S. Daily Deaths ...- Authors: Hal Warren Pedersen
- Date: Jun 2020
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Enterprise Risk Management; Finance & Investments