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The Choice of the Proper Profit Objective
The Choice of the Proper Profit Objective The author, noting the inadequacy of traditional ‘rules of thumb’ used for profit objectives, demonstrates that, assuming a stock life insurance ...Description: The author, noting the inadequacy of traditional ‘rules of thumb’ used for profit objectives, demonstrates that, assuming a stock life insurance company’s objective is to maximize its current value, the profit objective can be expressed as maximizing ‘the present value of book profits per unit of limiting constraint.’ Includes discussion and author’s review of discussion. From Transactions of Society of Actuaries 1983 Volume 35.
Hide- Authors: Robert L Collett, Vincent Granieri, Claude Y Paquin, Harry Ploss, Bradley M Smith, Donald R Sondergeld, James P Walsh
- Date: Oct 1983
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Capital management - Finance & Investments
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Insurance Liability Duration in a Low-Interest-Rate Environment
Insurance Liability Duration in a Low-Interest-Rate Environment This article discusses the recent low interest rate environment and the asset-liability management challenges it presents for ...Description: This article discusses the recent low interest rate environment and the asset-liability management challenges it presents for insurers. With respect to products such as deferred annuities, universal life and settlement options, it introduces the more robust duration measure called effective duration, which is the product of option-adjusted analysis OAA.
Hide- 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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A Practical Concept of Tail Correlation
A Practical Concept of Tail Correlation This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper ...Description: This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation matrix and describes methods for estimating these quantities from simulated data. We show how these ideas can be put into practice as both computational shortcuts and presentation tools.
Hide- Authors: Application Administrator
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models