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Results of the Survey on Variable Annuity Hedging Programs for Life Insurance Companies
Results of the Survey on Variable Annuity Hedging Programs for Life Insurance Companies This paper, ... Projects – Finance/Investment,’ presented by the SOA’s Committee on Finance Research, describes the results ...- Authors: Robert Reitano, Charles L Gilbert, Kannoo Ravindran
- Date: Jan 2007
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Mortality Cost Valuation of Underwriting Requirements
Mortality Cost Valuation of Underwriting Requirements The purpose of this paper is to provide a unified ... is based on the measurement of the levels of mortality costs associated with such requirements. A discussion ...- Authors: Robert Reitano
- Date: Oct 1982
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Underwriting - Life Insurance
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Asset Share Mathematics
mature at the same policy duration and projected mortality and lapse experience is identical except in the ... a cash flow c at moment s within policy year t accumulates to [1 + (1 -- s)i]c at the end of policy ...- Authors: Pierre Chouinard, Mark Evans, Peyton J Huffman, Frank C Metz, Robert Reitano, James A Tilley
- Date: Oct 1978
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Financial Reporting & Accounting
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Funding for Investment Risks
talk to you a little bit better, you can see in Table 1 in 10-year intervals what the average default ... 1.6 1.2 _0 © 0.8 _Z 0.4 0 1940 52 64 76 88 2000 YEAR FUNDING FOR INVESTMENT RISKS these bonds ...- Authors: Application Administrator, David A Hall, Daniel E O'Sullivan, Robert Reitano
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments
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Two Paradigms for the Market Value of Liabilities
guaranteed investment contracts (GICs) to all annuity and insurance products today. An impor- tant and ... various nations' GDPs and CPIs, the value of the S&P 500 and other stock market indexes, the vol- atilities ...- Authors: Robert Reitano
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Financial Reporting & Accounting>Fair value accounting
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Multivariate Stochastic Immunization Theory
m- 1, the collection of residuals: {ziij - ~t u N,},j = 1, 2, ... (1.3) is as small as possible ... If P(i)=S(i) denotes the price function of surplus or net worth, where S(i)=A(i)-L(i) and S(io)#0, the ...- Authors: Robert Reitano
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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A Statistical Analysis of Banded Data with Applications
A Statistical Analysis of Banded Data with Applications The goal of this paper is to develop best ... these estimates are given in terms of the mean. Mortality risk;Retention; 2637 10/1/1990 12:00:00 AM ...- Authors: Robert Reitano
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Claims - Life Insurance; Modeling & Statistical Methods
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Multivariate Immunization Theory
Letting r(s, t) denote the rate used to discount cash flows from time t to time s, or the implied (t-s)-period ... at time s, where 0<s<t, we have that: [1 + r(0,t)] -t = [1 + r(0,s)] -s [1 + r(s,t)] -<t-s). Hence ...- Authors: Robert Reitano, Elias Shiu
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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COURSE 230 LIGHT- A LESS FILLING OVERVIEW OF THE FELLOWSHIP EXAM ON PRINCIPLES OF ASSET-LIABILITY MANAGEMENT
development of all types of life insuranceand annuity products. He joined the Exam 230 Committee when ... are 90 required credits and 60 elective credits. Table 1 is a listing of the investment and finance examinations ...- Authors: Robert Reitano, Judy L Strachan, Gordon E Klein
- Date: Apr 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Asset liability management
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A Multivariate Approach to Duration Analysis
involving the force of interest, Ot', the force of mortality. The various approximation formulas are also ... formulas can produce estimates which a~-e orde~'s of magnitude in erro~'. As part of the analysis ...- Authors: Robert Reitano
- Date: Jan 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling