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Multivariate Modeling of Asset Returns for Investment Guarantees Valuation
Multivariate Modeling of Asset Returns for Investment Guarantees Valuation Presentation ... Modeling of Asset Returns for Investment Guarantees Valuation Presentation at the 41st Actuarial Research Conference ...- Authors: Christian-Marc Panneton, Mathieu Boudreault
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
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AERF
AERF Article AERF in The Actuary, May 1979, Volume 13, Number 5 Asset liability ... management=ALM;Asset management;Asset modeling;Asset valuation;Contingencies;Investment policy;Investment strategy;Risk-based ...- Authors: Application Administrator
- Date: May 1979
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Results-Oriented Solutions>Actionable recommendations; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: The Actuary Magazine
- Topics: Finance & Investments>Capital management - Finance & Investments; Modeling & Statistical Methods>Asset modeling
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A New Risk Metric for Defined Benefit Pension Plans
A New Risk ... continue to use the 30-year lump sum example: Table 1 Surplus/Deficit Risk Metric Percentile Year ... value of assets at the specified time. Table 2 Assets Percentile Year 0 Year 10 Year 20 ...- Authors: Thomas D Bergan, David Fishbaum
- Date: Oct 2006
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Practice Forum
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Defined benefit plans; Pensions & Retirement>Pension investments & asset liability management; Pensions & Retirement>Risk management
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Pricing and Risk Management of Variable Annuities with Multiple Guaranteed Minimum Benefits
Pricing and ... Multiple Guaranteed Minimum Benefits -2- Table of Contents I. Abstract 3 II. Introduction ... Tables Table 1: Typical VA Guaranteed Minimum Benefits (GMBs) in the market 5 Table 2: Single ...- Authors: Feng Sun
- Date: Oct 2006
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Actuarial Practice Forum
- Topics: Annuities>Variable annuities; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Dynamic simulation models
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A Note Regarding “Risk Neutral” and “Real World” Scenarios—Dispelling a Common Misperception
scenarios and real world scenarios is not the individual scenarios themselves; it is the probability ... scenarios aren’t supposed to be realistic; it’s the valuation that matters. The youngster almost has it right—but ...- Authors: Gary Hatfield
- Date: Feb 2009
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Product Matters!
- Topics: Modeling & Statistical Methods>Asset modeling
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Optimal Investment Allocation in a Jump Diffusion Risk Model with Investment: A Numerical Analysis of Several Examples
λ and a cumulative distribution function for individual claims defined as G(x) = Pr(X ≤ x). Yt, Ut and ... conservative analysis. The summary of the data are in Table 1. To determine that lower limit of a reasonable ...- Authors: JENG ENG LIN, BLANE A LAUBIS
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Capital markets; Modeling & Statistical Methods>Asset modeling
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Random Switching Times Among Randomly Parameterized Regimes of Random Interest Rate Scenarios
rate spread, including large volumes of highly pro table riders; and the reserves had high margins, including ... it changed. Only when preparing for the 2001 Valuation Actuary Symposium talk [2] on these matters did ...- Authors: James Bridgeman
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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Hand Over, not Fall Over: Focus on Actuarial Model Handoff
Hand Over, not Fall Over: Focus on Actuarial Model Handoff This article discusse key considerations ... and analyze results • Driven by the managing valuation actuary • Check out a copy of the master production ...- Authors: Alexander Zaidlin, Youn Kim
- Date: Apr 2018
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: The Modeling Platform
- Topics: Modeling & Statistical Methods>Asset modeling