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Interest Rate Model Risk
Chart 1 shows a typical single premium.deferred annuity (SPDA) block and supporting asset portfolio, and ... years, and I work with some big annuity writers. In 1993, my annuity writers didn't have much problem ...- Authors: David N Becker, Michael E Mateja, Douglas A George, Peter Fitton
- Date: Jan 1996
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Bounds on Expected Values of Insurance Payments and Option Prices
Bounds ... = inf[ I h(x) dFIx) : F ~ M(y) ] and i b U(h y) = sup{ h(x) dF(x) : F c ~l,(y) } where y denotes ... The best uigper bound for h(x) = min{x, d} is U(h I y) = q 0-2 d for O~dSkt -b_ ~ ~t(b + d) ...- Authors: Samuel Cox
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance
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Option Bounds in Discrete Time with Transaction Costs
period. 371 Su Su 2 S Sud Sd Sd2 where we assume that u > R > d, with R equal to one plus ... diagram we will construct the portfolio at the point S. In order to take the transaction costs into account ...- Authors: Phelim Boyle, Ton Vorst
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Implementation of Intensity Model Approach to Constant Maturity Credit Default Swap Pricing
Implementation of Intensity Model Approach to Constant Maturity Credit Default Swap Pricing ... paper implements the price algorithm based on Brigo’s work [2006]. Starting with current market data such ...- Authors: Ohoe Kim
- Date: Jan 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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On the Determination of Capital Charges in a Discounted Cash Flow Model
Candidates for Reserves: – U.S. Statutory Reserves; – U.S. GAAP Reserves; – U.S. Tax Reserves; – Fair ... 60 80 Year In c o m e l e s s C a p it a l C h a r g e s Tax Reserves Evaluation Reserves ...- Authors: Application Administrator
- Date: Jan 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Why the Current Practice of Operational Risk Management in Insurance is Fundamentally Flawed: Evidence From the Field
Why the Current Practice of Operational Risk Management in Insurance is Fundamentally Flawed: ... risk, in the Basel Committee on Banking Supervision’s Basel II definition, is unlikely to be a significant ...- Authors: Madhu Acharyya
- Date: Apr 2012
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Finance & Investments; Modeling & Statistical Methods
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Applying the Cost of Capital Approach to Extrapolating an Implied Volatility Surface
Applying the Cost of Capital Approach to Extrapolating an Implied Volatility Surface ... that is consistent with the European CRO Forum's framework for valuing non-hedgeable risk. The presentation ...- Authors: Application Administrator
- Date: Aug 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Modeling Multivariate Risk - To Copula, or Not To Copula: That is the Question
What is a copula? An k-dimensional copula C (u) with u = (u1, · · · , uk) is a real-valued function defined ... following properties: I C (u) = 0, if at least one of the coordinates is 0; I C (u) = uk , if all other coordinates ...- Authors: Xiaodong Sheldon Lin
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Total Return, Duration and Convexity
Total Return, Duration and Convexity In writing this note on the relationship between total return, ... it was author's intent to produce a better understanding of Redington's theory of immunization ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Liability Modeling II - Life Insurance Products
Liability Modeling II - Life Insurance Products 1996 Valuation Actuary Symposium. In this teaching ... and distribution;Market value of liabilities;Mortality assumption;Policyholder behavior; 14713 1/1/1996 ...- Authors: Greg Mateja, Michael J Murphy, Meredith Ratajczak
- Date: Jan 1996
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Life Insurance; Modeling & Statistical Methods