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Fair Valuation of Liabilities: Theoretical Considerations
provides less relevant information than today’s dynamic capital markets need, and it cannot cope with today’s ... However, leverage is not static. It can be quite dynamic. Leverage can be very large, it can be very small ...- Authors: Luke Girard
- Date: Feb 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Financial Reporting & Accounting>Fair value accounting
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Risks and Rewards Newsletter, February 2001, Issue No. 36
provides less relevant information than today’s dynamic capital markets need, and it cannot cope with today’s ... However, leverage is not static. It can be quite dynamic. Leverage can be very large, it can be very small ...- Authors: Lawrence N Bader, Nino A Boezio, Catherine Ehrlich, Luke Girard, Jeremy Gold, David Ingram, Victor Modugno, Max Rudolph, Stephen Strommen, Peter Tilley, David F Babbel, Sarah Christiansen, Gregory Goulding, Anthony Dardis, Edwin A Martin, William L Babcock, Craig Merrill, Marc Altschull, Stephen Britt, Peter D Jones
- Date: Feb 2001
- Publication Name: Risks & Rewards
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Risks and Rewards Newsletter, September 2000, Issue No. 35
will usually vary over time. That is, there is a dynamic hedging strategy that, given the usual assumptions ... equity options that match the liability options and dynamic hedging using the mathematics of “The Greeks” ...- Authors: Jeremy Gold, Josephine Marks, Victor Modugno, Max Rudolph, Peter Tilley, Richard Wendt, Frank Grossman, Stephen Britt
- Date: Sep 2000
- Publication Name: Risks & Rewards
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When Is It Right To Use Arbitrage-FreeScenarios?
When Is It Right To Use Arbitrage-FreeScenarios? When Is It Right To Use Arbitrage-Free Scenarios? ... will usually vary over time. That is, there is a dynamic hedging strategy that, given the usual assumptions ...- Authors: Stephen Britt
- Date: Sep 2000
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Scenario generation
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Risks and Rewards Newsletter, April 2000, Issue No. 34
equity market risk inherent in VA product using a dynamic hedging program. A case study is presented in which ... benefits (reduced cash flow variability) of a dynamic hedging program are compared to both a reinsurance ...- Authors: Nino A Boezio, Josephine Marks, Marshall C Greenbaum, Robert Brown, Carl E Walsh, Daniel L Thornton, Frank Schmid, Joel Prakken, Jim Sweeney
- Date: Apr 2000
- Publication Name: Risks & Rewards
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Dynamically Hedging Insurance Product Risk
Dynamically Hedging Insurance Product Risk Dynamically Hedging Insurance Product Risk by Marshall ... Rewards Newsletter, April 2000, Issue No. 34. A dynamic hedging program cab be an effective solution to ...- Authors: Marshall C Greenbaum
- Date: Apr 2000
- Competency: External Forces & Industry Knowledge>External forces and business performance
- Publication Name: Risks & Rewards
- Topics: Annuities; Finance & Investments>Portfolio management - Finance & Investments
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Risks and Rewards Newsletter, August 1999, Issue No. 33.
be held to defease a liability, given that any dynamic strategy, including short selling, of the assets ... any scenario for the given dynamic investment strategy. We restrict the dynamic investment strategies to ...- Authors: Nancy Bennett, Nino A Boezio, Douglas Doll, Paul Donahue, Luke Girard, Peter Tilley, Mark Bursinger, Anthony Dardis, Craig Fowler, Frank Grossman, Edwin A Martin, William L Babcock, Mark S Tenney, Scott A Martin, Antero Ranne, Alton Cogert, Cecilia Green, Michael Murphy, Anne Chamberlain Shaw
- Date: Aug 1999
- Publication Name: Risks & Rewards
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Review of Financial Risk Management of Insurance Enterprises Course
segmentation and cash flow matching, are discussed. Dynamic strategies are distinguished between value-driven ... and life insur- ance companies are modeled. The Dynamic Financial Analysis process is analyzed in detail ...- Authors: Scott A Martin
- Date: Aug 1999
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Actuarial Profession>Professional development; Enterprise Risk Management>Financial management
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Scenario Generation: Valuation versus Strategy Development
be held to defease a liability, given that any dynamic strategy, including short selling, of the assets ... any scenario for the given dynamic investment strategy. We restrict the dynamic investment strategies to ...- Authors: Luke Girard, Mark S Tenney
- Date: Aug 1999
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Scenario generation
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Risks and Rewards Newsletter, October 1998, Issue No. 31
Risks and Rewards Newsletter, October 1998, Issue No. 31 Full version of Risks and Rewards ... product season or a situation calls for a dynamic analysis. Dynamic Financial Analysis (DFA) is a sophisticated ...- Authors: Nino A Boezio, Daniel Case, Victor Modugno, Shirley Hwei-Chung Shao, Glyn A Holton, Zain Mohey-Deen, Anthony Dardis, Edwin A Martin, HEATHER NORTH ROYER, Patrick Reinkemeyer, Timothy Cogley, Vinod Chandrashekaran, Andrew Berry
- Date: Oct 1998
- Publication Name: Risks & Rewards
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Applying Insurance CompanyQuantitative Techniquesfor Improved Capital Budgeting
Applying Insurance CompanyQuantitative Techniquesfor Improved Capital Budgeting This ... product season or a situation calls for a dynamic analysis. Dynamic Financial Analysis (DFA) is a sophisticated ...- Authors: Anthony Dardis, Andrew Berry
- Date: Oct 1998
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Capital management - Finance & Investments
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Risks and Rewards Newsletter, March 1998, Issue No. 30
1997 (HG 6024.A3. H85) Irwin, 1990 (HG 4521.K74) Dynamic Asset Pricing Theory, 2nd ed., Darrell Duffie, ... D28) Princeton Univ. Press, 1996 (HG 4637.D84) Dynamic Asset Allocation: Strategies for the Stock, Bond ...- Authors: David N Becker, Nino A Boezio, David Ingram, Ronald Kahn, Anna M Rappaport, Richard Wendt, Thomas Grondin, Chris K Madsen, Barry Schachter, Christopher J Neely
- Date: Mar 1998
- Publication Name: Risks & Rewards