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Technology and the Actuarial Pricing Model - What Comes Next?
FH1747:Q CASHFLOWS PER $100 AT 6 SCENARIOS The primary decomposition in ABCD (Chart 10) clearly shows ... portfolio. We’ve found, for annuities, that the best primary decomposition is not zero-coupon bonds but a synthetic ...- Authors: Shane A Chalke, Thomas W Reese, Irwin T Vanderhoof, Douglas A George, Mark C Abbott
- Date: May 1996
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Pricing - Annuities; Life Insurance>Pricing - Life Insurance; Modeling & Statistical Methods; Technology & Applications>Software
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Is Foreign Exchange Fluctuation FEX Affecting Your Bottom Line?
portfolio market risk calculation results from the care with which consistent data points are observed and ... respect to portfolios held for extended periods. Direct calculation is a useful fast tool for ballpark ...- Authors: Joel Magyar, Peter L Smith, Eric A Tell, Mark C Abbott
- Date: May 1995
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Financial management; Global Perspectives
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Strategic Asset Allocation for Pension Plans
important? Why should your clients care about it? Why do our clients care about it? It has a profound impact ... analysis, an arbitrage-free framework for the primary valuation of the assets and even the liabilities ...- Authors: Bryan Boudreau, Craig A Voelker, Mark C Abbott
- Date: Jun 1998
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Pensions & Retirement>Pension investments & asset liability management
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Introduction to Value-At-Risk
discussed, the banking institutions were the primary originators of the VAR concept. Their trading ... also design specified pricing functions to take care of nonlinearities. Now I can price options. I can ...- Authors: Edward P Mohoric, Deborah K Orlando, Mark C Abbott
- Date: Jun 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Value at risk - Finance & Investments
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Designing and Adjusting an Investment Strategy: Real Life Example
by the following: 559 RECORD, VOLUME 22 • Primary Decomposition: compare with option free bonds to ... the impact of remaining path dependency. The primary decomposition determines what embedded options ...- Authors: Bryan Boudreau, Mark C Abbott
- Date: Oct 1995
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investment strategy - Finance & Investments
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Risky Business: Covering Your Assets
5PDA with what I'll call an accrual hedge. My primary decomposition was actually a bond that was going ... a regulatory point of view, those are the two primary things that we tend to focus on, which excludes ...- Authors: Cindy L Forbes, Francis Sabatini, Anthony Dardis, Mark C Abbott
- Date: Jun 1998
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management; Finance & Investments>Risk measurement - Finance & Investments
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Setting Credit Risk Limits
below investment grade. What insurance companies care most about is how our regulators view the risk ... rethinking that. They are saying, "What we really care about is how this is performing against the liabilities ...- Authors: Scott S Hartz, Jack Z Reichman, Hal Warren Pedersen, Mark C Abbott, Nikunj Kapadia
- Date: Oct 2002
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Portfolio management - Finance & Investments