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Multivariate Modeling of Asset Returns for Investment Guarantees Valuation
• 4 different markets – Canada: S&P TSX total return index – U.S.: S&P 500 total return index – U.K. ... Different pairs of markets considered – Canada – U.S. (high correlation) – U.S. – Japan (low correlation) • Globa ...- Authors: Christian-Marc Panneton, Mathieu Boudreault
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
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Stochastic Modeling in Health Insurance
2005, Society of Actuaries Note: The chart(s) referred to in the text can be downloaded at: http://handouts ... can always model inflation or something else, mortality or anything, by a random variable. What's inflation ...- Authors: Armand Yambao, Jonathan Hendrickson, Edward McEllin
- Date: Jun 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models
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Capital and Hedge Modeling for Variable Annuities
Society of Actuaries Note: The chart(s) referred to in the text can be found at http://handouts ... Dutch and Swiss statutory capital initiatives. The U.S. statute, SCL2, is just beginning and AUSTI Guideline ...- Authors: Hubert B Mueller, Application Administrator, Ulrich Stengele
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital; Modeling & Statistical Methods>Stochastic models
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Fuzzy Volatility Forecasts and Fuzzy Option Values
a fuzzy subset of X . Then the support of A, S(A), is S(A) = {x ∈ X : µA(x) > 0} The height h(A) of ... q) Errors yt − µ¯ = ∞∑ j=0 ψ¯jat−j , where ψj ′s are such that ∞∑ j=0 ∫ 1 0 (ψ2j1(γ) + ψ 2 j2(γ))γ ...- Authors: Ranee Thiagarajah
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Stochastic models
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Design a Stochastic Valuation/Forecast System
increase of an index such as the Standard & Poor's (S&P) 500. You can readily buy its hybrid securities ... securities, and you gain a portion of the upside of the S&P, while limiting your downside to a fixed amount.- Authors: Richard Wendt, Chris K Madsen, John M Mulvey
- Date: Jun 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Pension investments & asset liability management
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The Distribution of Discounted Compound Renewal Sums
Model (1957) for an aggregate claim is given by: S(t) = N(t)∑ k=1 Xk , t ≥ 0 , (1) where N(t) is a ... Model (1957) for an aggregate claim is given by: S(t) = N(t)∑ k=1 Xk , t ≥ 0 , (1) where N(t) is a ...- Authors: José Garrido, GHISLAIN LEVEILLE, Ya Fang Wang
- Date: Nov 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Session 75 - Evolving the Role of the Valuation Actuary in a Principles-Based World
Heather Gordon FSA, CERA, MAAA VP & Actuary - Annuity Valuation | AIG Life & Retirement • Heather Gordon ... Group Retirement at AIG, was head of Variable Annuity Valuation at Forethought Financial in Houston ...- Authors: Heather Gordon, Philip Rant, John Robinson, Chris Whitney
- Date: Sep 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Stochastic models
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Stochastic Modeling for Health Actuaries
Knapp Panelists: Doug Fearrington Charles S. Fuhrer Summary: This session presents a summary ... separate, and then just looking at the part of the table where out-of-pocket is going to influence the utilization ...- Authors: Charles S Fuhrer, Darrell Knapp, Doug Fearrington
- Date: May 2004
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Health & Disability>Health insurance; Modeling & Statistical Methods>Stochastic models