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Insurance Liability Duration in a Low-Interest-Rate Environment
use the three-year yield curve shown in Table 1. The table gives the yields converted to spot rates ... will shock the yield up and down by 10 bp, so Table 2 shows these yields and the resulting spot and ...- Authors: Paul Heffernan
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset liability management
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The Growing Demand for More Robust Economic Scenario Generators
through the use of an ESG in- clude life liability valuation, effective duration analysis, stress testing ... parameterization process. Market-consistent valuation applications require ESGs to be ca- pable of generating ...- Authors: Ken Griffin, Hal Warren Pedersen
- Date: Aug 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset liability management
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The Objective Function of Asset/Liability Management
virtually unlimited. maintenance reserves, asset valuation If scenarios are generated in a stochastic What ... of existing liabilities (FVL) at the date of valuation. This is sometimes referred to as the “market ...- Authors: David N Becker
- Date: Mar 1998
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Economic value