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Variable Payout Annuities
mortality experience of the group, or both. For individual retirees the GSA offers some of the benefits ... annuity is computed based on an assumed mortality table and an assumed interest rate, which can be selected ...- Authors: Phelim Boyle, Mary Hardy, Anne MacKay, David Morris Saunders
- Date: Dec 2015
- Competency: External Forces & Industry Knowledge
- Topics: Pensions & Retirement>Plan design
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Quasi-Monte Carlo Methods in Numerical Finance
Quasi-Monte Carlo Methods in Numerical Finance This paper introduces and illustrates a new version ... that has attractive properties for the numerical valuation of derivatives. Quasi-Monte Carlo methods use ...- Authors: Phelim Boyle, Ken Seng Tan, Corwin Joy
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Simulation
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The Comparison of Group Life Benefit Schedules
money-purchase pension plan in the sense that each individual receives the benefit of his own contributions ... 1 denotes the multiple of salary for which individual i is covered. One way to measure the difference ...- Authors: Phelim Boyle
- Date: Jan 1979
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Influence decisions
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance>Group plans - Life Insurance
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Abstracts from Various Actuarial Research
METHOD FOR DETERMINING RETENTION LIMITS FOR INDIVIDUAL DISABILITY INCOME INSURANCE Clayton A. Cardinal ... appropriate for disability income insurance. ULPIAN'S TABLE Walter J. Mays The paper exhibits a relationship ...- Authors: Phelim Boyle, Calvin D Cherry, Mark Evans, Farrokh Guiahi, Charles E Johnson, Karl K S Lee, Harry H Panjer, Lee M Tang, Basil A Xavier, Murray Silver, Walter J Mays
- Date: May 2013
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Immunization Under Stochastic Models of the Term Structure
struc- ture models considered, Table 1 has been prepared. This table gives the prices of pure discount ... Under Stochastic Models of the Term Structure Table I. Bond Prices and Mean Terms of Discount Bonds ...- Authors: Phelim Boyle
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Modeling & Statistical Methods>Stochastic models
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Population Waves and Fertility Fluctuations: Social Security Implications
equilibrium value whereas when a = 3.5 the -67 - Table 1 Population Evolution under Four Different Birth ... last two decades. This pattern is confirmed In Table 2 whlch displays the net reproduction rates and ...- Authors: Phelim Boyle, Ruth Freedman
- Date: Jan 1984
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House; Transactions of the SOA
- Topics: Demography
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The 1/n Pension Investment Puzzle
the five assets in the pension plan are given in Table 1. These descriptive statistics were estimated using ... returns, variances and covariances reflected in Table 1 are assumed to correspond to the true population ...- Authors: Phelim Boyle, Heath Windcliff
- Date: Jan 2004
- Competency: External Forces & Industry Knowledge
- Topics: Pensions & Retirement>Defined contribution and 401k plans; Pensions & Retirement>Pension investments & asset liability management
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Option Bounds in Discrete Time with Transaction Costs
particular utility function for the intermediary (or individual) creating the hedge. Figlewski [1989] uses ... (~,B~) (A,B) (A,,B,) (A2,B2) (As,B~) Table I provides values of the weights of the replicating ...- Authors: Phelim Boyle, Ton Vorst
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Measuring and managing systemic risk
focuses on the safeguarding of the solvency of individual firms using for example the Value at Risk (VaR) ... fund is financed through the contributions of individual companies based on their relative risk contribution ...- Authors: Phelim Boyle, Joseph Hyun-Tae Kim
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Systemic risk
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Suboptimality of Asian Executive Indexed Options
Suboptimality of Asian Executive Indexed Options Characteristics of Asian Indexed Executive ... 35 33% 4.37 34% qI = 2% 3.25 4.34 33% 4.36 34% Table: Prices and efficiency loss of A?T and AˆT compared ...- Authors: Phelim Boyle, Jit Seng Chen, Carole L Bernard
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives