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The Marginal Cost of Risk, Risk Measures, and Capital Allocation
The Marginal Cost of Risk, Risk Measures, and Capital Allocation This abstract describes a paper that ... that reverses the sequence of the Euler (or gradient) allocation technique by calculating the marginal costs ...- Authors: Daniel Bauer, George H Zanjani
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities
Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees ... This abstract describes a paper that develops a risk-neutral valuation methodology that takes different ...- Authors: Thorsten Moenig, Daniel Bauer
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Annuities>Variable annuities
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On Negative Option Values in Personal Savings Products
On Negative Option Values in Personal Savings Products This abstract describes a paper that demonstrates ... strictly positive as they provide the holder with the right – but not the obligation – to execute a transaction ...- Authors: Thorsten Moenig, Daniel Bauer
- Date: Feb 2014