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The Impact of Policyholder Behavior on Variable Annuities
The Impact of Policyholder Behavior on Variable Annuities The panel discusses: 1. How fund ... of the 2001 Toronto Spring Meeting. Annuity valuation;Guaranteed minimum death benefits=GMDB;Policyholder ...- Authors: Marshall C Greenbaum, Kenneth Mungan, Ulrich Stengele
- Date: Jun 2001
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Variable annuities; Enterprise Risk Management
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Risks and Rewards Newsletter, February 2002, Issue No. 38
Dave Becker gently twisted my arm to speak at a Valuation Actuary Symposium session. He continued to encourage ... is, debt effectively reduces cash. Table 3 increases the Table 2 portfolio by .36% by adding 20% to ...- Authors: Nino A Boezio, David Ingram, Victor Modugno, Max Rudolph, Peter Tilley, Richard Wendt, Marshall C Greenbaum, Adam Zivitofsky, Thomas Merfeld
- Date: Feb 2002
- Publication Name: Risks & Rewards
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Convertible Bonds: A Valuable Asset Class Ignored by the Insurance Industry
wanted to review very quickly some traditional valuation methods to take a look at convertible bonds. ... payback period. Also, the traditional standard valuation methods have also been applied to convertible ...- Authors: Marshall C Greenbaum, David X Li, Matthew Y Li
- Date: May 1999
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investment policy
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Swap It! Variable M&E Revenuefor Fixed M&E Revenue
the swap attributes are flexible based on the individual insurer’s needs. The key basic terms of an M&E ... payment from one party to another. The following table illustrates the net payments received by the variable ...- Authors: Marshall C Greenbaum, Adam Zivitofsky
- Date: Feb 2002
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Enterprise Risk Management>Financial management; Finance & Investments>Derivatives
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Risks and Rewards Newsletter, April 2000, Issue No. 34
interesting dilemmas for those involved in corporate valuation. The Internet can substantially reduce cost in ... have had a chance to respond. The Problem of Valuation We have all been hearing stories about how Internet ...- Authors: Nino A Boezio, Josephine Marks, Marshall C Greenbaum, Robert Brown, Carl E Walsh, Daniel L Thornton, Frank Schmid, Joel Prakken, Jim Sweeney
- Date: Apr 2000
- Publication Name: Risks & Rewards
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Dynamic Hedging
Carlo valuation itself. Thus we have Monte Carlo valuations going on within a Monte Carlo valuation, a ... charge. For the capital market assumption, the individual policyholder accounts are assumed to return ...- Authors: Marshall C Greenbaum, Kannoo Ravindran
- Date: May 2002
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Variable annuities; Enterprise Risk Management>Financial management; Life Insurance
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Hot Topics in Separate Account Products
off a formula that's based off of how much the individual is in the money; it tends to reside between 30 ... if K is 100%. In each line this is increasing. TABLE 1 T\K 80 85 90 95 100 1/12 0.0001 0.0065 0.1304 ...- Authors: Hans U Gerber, Peter Tilley, Marshall C Greenbaum, Mary Hardy
- Date: Oct 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Pricing - Annuities; Annuities>Variable annuities
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Pricing and Managing Derivative Risk: An Integral Risk Function
Consider the commissioner's annuity reserve valuation method– updated market value (CARVM-UMV) for ... risk-neutral, or market-value valuation. You might have a slightly different valuation basis for the hedges that ...- Authors: James P Greaton, Paul Haley, Novian Junus, Marshall C Greenbaum, Howard Zail
- Date: Oct 2002
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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So, The Equity Markets Don't Always Go Up? Capital Markets Hedging of Variable Annuities and Equity-Indexed Annuities
with, is delta, which comes from perturbing the individual index levels of each of my tradable instruments ... can perturb my correlations. I can perturb each individual yield curve instrument to get my rho, or I can ...- Authors: Daniel Patterson, Marshall C Greenbaum, Jun Zhuo, D Kent Freeman
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives