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Interpretive Structural Modeling of Interactive Risks
Interpretive Structural Modeling of Interactive Risks This paper uses Interpretive Structural ... the initial step of any risk management, ERM or dynamic financial analysis process. But risk identification ...- Authors: Richard Gorvett, Ningwei Liu
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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An Alternative to Capital Allocation
Discussion Paper Program on Incorporating Risk Factors in Dynamic Financial Analysis, pp 55‐79. http://www.casact ... Capital adequacy and allocation using dynamic financial analysis. Summer: Dynamic Financial Analysis Call Papers ...- Authors: Application Administrator, Dan Isaac
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Capital management - Finance & Investments
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Applying Actuarial Techniques in Operational Risk Modeling
Applying Actuarial Techniques in Operational Risk Modeling This paper demonstrates the ... the Risk Analysis stage, in what the actuaries call dynamic financial analysis (DFA). However, there is not ...- Authors: Donald F Mango
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Operational risks
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Property/Casualty Insurer Economic Capital Using a VaR Model
Property/Casualty Insurer Economic Capital Using a VaR Model The purpose of this paper is to build ... rom regulatory or rating agency formulas and dynamic financial analysis (DFA) models. 2. Back ...- Authors: Thomas P Conway, MARK DANIEL MCCLUSKEY
- Date: Apr 2006
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Capital management - ERM
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Diversification Benefits of the Variable Annuities and Equity-Indexed Annuities Mixture
classes respectively. Taking into account mortality and dynamic lapse risk, we build a model that quantifies ... Hardy (2003) offered risk‐neutral pricing and dynamic hedging analyses on VAs. Milevsky analyzed VA ...- Authors: Guanghua Cao
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Enterprise Risk Management
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The Importance of Being Transparent - Theory and Implementation Specifics for an Integrated Risk Measurement Model for P&C Companies
ay to handle correlations between risks of a dynamic company in a changing environment. The top‐down ... nts. Expert opinions may be irrelevant in a dynamic market environment. 2. Business segments a ...- Authors: Tim Freestone, ALEX V TARTAKOVSKI, Roman Gutkovich
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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A Multi-Stakeholder Approach to Capital Adequacy
capitalization levels blossom just as ERM and dynamic financial analysis (DFA)3 have blossomed. ... elation matrix. This is in contrast to many dynamic financial analysis models that build the interactions of ...- Authors: Robert Painter, DANIEL A ISAACS
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Capital management - ERM
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Dynamic Risk Modeling
Dynamic Risk Modeling This article discusses the pending book entitled 'Dynamic Risk Modeling Handbook ...- Authors: James Rech
- Date: Mar 2006
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Finance & Investments; Modeling & Statistical Methods>Dynamic simulation models
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Chief Risk Officer Forum - Principles for Regulatory Admissibility of Internal Models
Chief Risk Officer Forum - Principles for Regulatory Admissibility of Internal Models This article ... (e.g., bonus rates on participating business, dynamic asset allocation policies), where material, should ...- Authors: John Hele, Henk van Broekhoven
- Date: Mar 2006
- Competency: Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Finance & Investments
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Policyholder Behavior in the Tail: Variable Annuity Guaranteed Benefits Survey Results
was responded that 69 percent (11 out of 16) use dynamic utilization for GMIBs: • Of the 10 that described ... percent (4 out of 10) explicitly stated that dynamic utilization is a function of in-the- moneyness ...- Authors: James Reiskytl
- Date: Mar 2006
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Annuities>Variable annuities
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Pricing of Guaranteed Products for Defined Benefit Pension Funds
spot interest rate and s is a quality spread. Dynamic of the market value of the portfolio A is described ... getting a following equation for a market value dynamic dm D b r dt r s dt D r dt D r dwt t t t t t ...- Authors: Mark Saxonov
- Date: Jan 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Pensions & Retirement>Pension investments & asset liability management
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US GAAP for Life Insurers
US GAAP for Life Insurers US ... 6.5% interest Table 3-22 Table 3-22 Dynamic Worksheet for SFAS 60 Product (1) (2) (3) ... Actual Policy Mean In Force Insurance Dynamic Year DAC End of Year In Force DAC ...- Authors: Society of Actuaries
- Date: Jan 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]
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Policyholder Behavior in the Tail Risk Management Working Group - Variable Annuity Guaranteed Benefits Survey Results
out of 22) assume dynamic lapse behavior for GMDBs • Of those that do use dynamic lapses all four use ... Living Benefit Lapses 83% (15 out of 18) assume dynamic lapse behavior for living benefits • Of the 14 ...- Authors: Society of Actuaries
- Date: Dec 2005
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Variable annuities
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Hedging Variable Annuity Guarantees With Long-Dated Equity Derivatives
expect- ed to be put on in the future under a dynamic hedging strategy. Furthermore, gap risk—the risk ... core long-dated derivatives supple- mented by dynamic hedging to provide added flexibility in responding ...- Authors: Michelle Smith, Roma Jakiwczyk, Edward Wilson, Mark Evans
- Date: Nov 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Annuities>Variable annuities; Finance & Investments>Derivatives
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Financial Statement Disclosure: The Needs and Practices Related to Financial Risk
Financial Statement Disclosure: The Needs and Practices Related to Financial Risk This paper ... concerning policyholder behavior. Because of the dynamic and complex nature of these cash flows, stochastic ...- Authors: Robert Frasca, Gordon Andrew Tucker
- Date: Nov 2005
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting
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Skills for Risk Management
Skills for Risk Management In this article, the author describes the skills needed for the ... “threats” to one another but rather part of a new dynamic and in- clusive approach. I sum up this comment ...- Authors: H Felix Kloman
- Date: Nov 2005
- Competency: Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management
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Paper 5: Evaluating Disease Management Savings Outcomes
Paper 5: Evaluating Disease Management Savings Outcomes This is one of a series of SOA-sponsored ... adjustment is easier to make when there is no dynamic effect on the reference population over time.- Authors: Ian G Duncan
- Date: Oct 2005
- Competency: Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Health & Disability>Health care
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Accounting for Stock Options: Actuaries Needed
Accounting for Stock Options: Actuaries Needed Discusses the growing and evolving field of pricing ... highly structured fields. They aren't used to dynamic, undefined and rapidly changing areas. Years from ...- Authors: Alan Parikh, Sean Pinna Scrol
- Date: Aug 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Modeling & Statistical Methods
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Pension Funding: A Historical Perspective
Pension Funding: A Historical Perspective The abstract for a paper that describes the history ... assumptions, the history of past inquiries into the dynamic and stochastic nature of pension costs, and the ...- Authors: Arnold Shapiro
- Date: Jul 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Pensions & Retirement>Assumptions and methods
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Pension Funding - A Historical Perspective
Pension Funding - A Historical Perspective This paper presents a history of traditional topics ... assumptions, the history of past inquiries into the dynamic and stochastic nature of pension costs, and the ...- Authors: Arnold Shapiro
- Date: Jul 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Pensions & Retirement>Assumptions and methods
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Disability Reinsurance Seminar, Part 1
Disability Reinsurance Seminar, Part 1 Panelists discuss keys to successful disability reinsurance ... everyone is in sync. Training should be more dynamic than just at the beginning of a deal. Personnel ...- Authors: Andronico L Castillo, Jeffrey Schuh, Robert T Lumia, Dennis Yu
- Date: Jun 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Reinsurance>Health reinsurance
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What's New with Retiree Medical?
understanding of the imminent changes in this dynamic segment of the health insurance market. MR ... the worst shape to fund it. This is the sort of dynamic. When they see an opportunity to book out of there ...- Authors: Damian Birnstihl, Corey Berger, Stephen P Wood
- Date: Jun 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Pensions & Retirement>Retiree medical
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Financial Economics vs. Traditional Actuarial Methods/ Back to Basics: Risk Neutral vs. Real World
account value is lower. You may be modeling dynamic policyholder behavior that's going to have a greater ... because the ending-fund value depends upon the dynamic behavior of the policyholder and upon the random ...- Authors: Graham D Ireland, Tamara Burden, Julia Lynn Wirch-Viinikka
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Economics>Financial economics; Finance & Investments>Risk measurement - Finance & Investments
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Asset-Liability Modeling Issues: An Open Forum
Open Forum 5 that was either stochastic or dynamic. So if the actuary were doing a model and let’s ... earned rate, no matter what, but if they had dynamic lapse in there, there would still be a range.- Authors: Tracey Polsgrove, ELLEN COOPER
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods
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Stochastic Embedded Value and Its Use in Risk Measurement and Financial Management: Part 2
Stochastic Embedded Value and Its Use in Risk Measurement and Financial Management: Part 2 Presented ... policyholder behavior. If we were reflecting dynamic behavior, such as reducing the lapse rate when ...- Authors: Hubert B Mueller, Michael Hughes, Maria Mercedes Torres-Jorda, Penny Coulthard
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Embedded value; Modeling & Statistical Methods>Stochastic models
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Setting Long-Term Investment Assumptions for Actuarial Models
Setting Long-Term Investment Assumptions for Actuarial Models Presented at May 2005 Spring ... course, on the casualty side, you might consider dynamic financial analysis, which is just cash-flow testing ...- Authors: Phillip Schechter, Kevin Ahlgrim
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Asset modeling
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Hedging Variable Annuities: A Dealer's Perspective
insurers are likely to consider and adopt static or dynamic hedging approaches, or a combination. In this article ... futures it needs to hedge its delta risk. The dynamic hedging approach typically entails the issuer shorting ...- Authors: Edward A Mirsepahi
- Date: Apr 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Enterprise Risk Management>Capital markets
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Appointed Actuary Forum
Appointed Actuary Forum A panel of appointed actuaries, along with substantial audience ... results. That's how I want to see, for instance, the dynamic validations of my cash- flow-testing models. It's ...- Authors: Steve Bader, J Gaule, James Merwald, Randal Freitag
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Actuarial Profession>Competencies
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Guaranteed Annuity Options or a Fine Mess
Guaranteed Annuity Options or a Fine Mess This article discusses the problems created ... representation of the process is required for the dynamic hedge. For the dynamics of the interest rate process ...- Authors: Mary Hardy
- Date: Nov 2004
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Annuities; Global Perspectives
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Reactions to Medicare Reform Legislation
Reactions to Medicare Reform Legislation The panel offers a summary of the Medicare Modernization ... as it relates to the fee. It's an interesting dynamic. I think they are trying to build something that ...- Authors: Dawn E Helwig, Michael Thompson, Dale Yamamoto, John S Cathcart
- Date: Oct 2004
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Public Policy; Social Insurance>Medicare
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What's Backing Your Guarantee?
hedging program of some kind, either static or dynamic. If we run the risk naked, the object is not ... more expensive. More people nowadays are doing a dynamic hedging program, and I think John is going to ...- Authors: Carl Friedrich, John P Glynn, Douglas Robbins
- Date: Oct 2004
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Variable annuities; Life Insurance
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Better Pricing in an Uncertain World
risk-driven charges. It has a slightly different dynamic than some of the others. Now that we've seen ... along with that. You have the interest rates. Dynamic lapses reinsurance again is an issue, and there ...- Authors: Timothy Hill, Tim Bennett
- Date: Oct 2004
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Pricing - Annuities; Annuities>Variable annuities; Life Insurance>Pricing - Life Insurance
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Hedging and Other Mitigation Techniques
five years and then take 7 percent; some take dynamic withdrawals, which generally range from 2 percent ... we’re finding here. I have another note on dynamic lapses, and just policyholder behavior in general ...- Authors: Application Administrator, Kenneth Mungan
- Date: Sep 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Life and Annuity Valuation Issues
Life and Annuity Valuation Issues This session at the 2004 Valuation Actuary Symposium provides ... this new law. The first one was that it created a dynamic minimum nonforfeiture interest rate. The minimum ...- Authors: Thomas Campbell, Meredith Ratajczak, Kory Olsen
- Date: Sep 2004
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Reserves - Annuities; Life Insurance>Reserves - Life Insurance
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Embedded Value, Fair Value and the Move to Principles-Based Measurement Systems
Embedded Value, Fair Value and the Move to Principles-Based Measurement Systems Panelists in this ... all of them—include data quality, static and dynamic validation, maintenance of the models, including ...- Authors: Steeve Jean, Duncan Briggs, Maria Mercedes Torres-Jorda
- Date: Sep 2004
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Fair value accounting
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Risk-Based Capital
was the first official filing. It's basically a dynamic tool for measuring solvency, relative to the scale ... vanilla, equity index. I would guess that's a dynamic thing, but I'm not sure. We know from our equity ...- Authors: Craig Likkel, Lloyd Spencer
- Date: Sep 2004
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Statutory accounting
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Financial Reporting for Universal Life Refresher
Financial Reporting for Universal Life Refresher This session at the 2004 Valuation Actuary ... pointing out is that, just as with DAC, this is a dynamic process. We true up actual results in place of ...- Authors: Jeffrey Beckley, John F Bevacqua
- Date: Sep 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Life Insurance>Reserves - Life Insurance
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Applied Modeling Concepts
included in a Applied Modeling Concepts 2 dynamic model for a fair value accounting basis. I'll talk ... under dynamic economic conditions, dynamic conditions for claims and for everything else. A dynamic model ...- Authors: David A Ricci, Stephen Strommen, Vincent Y Y Tsang, Benjamin J. Yahr
- Date: Sep 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting; Modeling & Statistical Methods
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Asset Modeling Concepts
an example of dynamic rebalancing where we use duration and convexity to do the dynamic rebalancing. ... works and balances. It’’s just that it has to be a dynamic hedge. It can’’t be a static portfolio. FROM ...- Authors: Don Wilson, ELLEN COOPER
- Date: Sep 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Retirement Probability Analyzer Software
most appropriate because they are equipped with dynamic link library (DLL) files, which the program relies ... have additional parameters governing their dynamic behavior. The variable annuity requires the following ...- Authors: Moshe Arye Milevsky
- Date: Aug 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Pensions & Retirement>Retirement risks; Technology & Applications>Software
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Recent Developments in the Annuity World
The annuity marketplace continues tooperate in a dynamic environmentthat is impacted by demographic, strategic ... manage- ment approach for GLBs from reinsurance to dynamic hedging. Most of the top 20 variable annuity carriers ...- Authors: Timothy Pfeifer
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Product Matters!
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Payout annuities; Annuities>Variable annuities
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Valuation of Retiree Health Benefits
Valuation of Retiree Health Benefits The panelists in this session discuss recent developments ... valuation. The valuation will be a little bit more dynamic maybe than in the past, and—I already mentioned ...- Authors: Dale Yamamoto, David Kendall, Jin Park
- Date: May 2004
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Actuarial Profession>Standards of practice; Pensions & Retirement>Retiree medical
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Individual Disability Morbidity Trends
Individual Disability Morbidity Trends This open forum begins with a presentation of the ... occupation and multi-life/single life to see how that dynamic is working. We’ll probably go back to get that ...- Authors: Robert Beal, Douglas Taylor, Paul George Ziobrowski
- Date: May 2004
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Experience Studies & Data>Disability
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Health Policy and Financing
about how in our system there is a cycle or a dynamic where whatever health technology becomes available ... people and what we demand. There's another dynamic that we need to look at if we're thinking about ...- Authors: Application Administrator, Grady Catterall, Sally T Burner, M Clemens, John Sheils
- Date: May 2004
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Public Policy; Public Policy
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Where is ERM Heading?
Where is ERM Heading? This article discusses the growing exposure of ERM and where it's ... g., asset allocation, portfolio optimization, dynamic hedging, etc). For non-investment ac- tivities ...- Authors: Shaun Wang
- Date: Mar 2004
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management
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Estimation of Stochastic Volatility Models by Simulated Maximum Likelihood Method
Estimation of Stochastic Volatility Models by Simulated Maximum Likelihood Method The ... Gaissian importance sampler with application to dynamic latent variable models”, Journal of Applied Econometrics ...- Authors: EUNJI CHOI
- Date: Jan 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Modeling of Economic Series Coordinated with Interest Rate Scenarios: A progress report on research sponsored by the Casualty Actuarial Society and the Society of Actuaries
• A property-liability insurance company uses dynamic financial analysis (DFA) to compare alternative ... community. For example, a key aspect of the dynamic financial analysis process, which continues to ...- Authors: Stephen P D'Arcy, Richard Gorvett, Kevin Ahlgrim
- Date: Jan 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Economics; Modeling & Statistical Methods>Stochastic models
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Risk-Based Capital Requirements on Variable Annuities with Guarantees
vis-à-vis the performance of the funds so that you get dynamic lapses, withdrawals, transfers, etc. You want ... value of the GMIB at election. I've also assumed a dynamic model for annuitization (election of the GMIB) ...- Authors: Jeffrey A Leitz, Geoffrey Hancock, Dominique Lebel
- Date: Oct 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Variable annuities; Modeling & Statistical Methods>Stochastic models
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Asset Modeling Concepts
to write a custom option) and coming up with a dynamic hedging strategy are certainly there to mitigate ... account surplus that's accumulating. You have a dynamic activity occurring in the middle, and the result ...- Authors: Henry M McMillan, Harry Jamison, David M Walczak
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Asset modeling
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Applied Modeling Concepts
perspective, you can take either a static approach or a dynamic approach. A static approach more or less is similar ... with very infrequent rebalancing, while a more dynamic approach is one whereby you are looking at rebalancing ...- Authors: Ronald Harasym, Becky Grant, REBECCA LYNN BURTON
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Ask the Experts
Ask the Experts 2003 Valuation Actuary Symposium, San Diego, CA. In this open forum participants' ... people are doing that. One is with regard to dynamic hedging. We've been involved in some circumstances ...- Authors: Jack Gibson, Daniel J McCarthy, Meredith Ratajczak, Michael Hughes
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Actuarial Profession
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Integrated Risk Management
summarize here is one that focuses on the impact of dynamic policyholder behavior on capital requirements ... (GMIB) situation. What you can see is that if dynamic lapses are ignored, there's no linkage. With the ...- Authors: Jack Gibson, Albert Zlogar
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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Minimum Guaranteed Benefits on Variable Annuities
Minimum Guaranteed Benefits on Variable Annuities 2003 Valuation Actuary Symposium, San Diego, ... in years 10 and forward. It assumes dynamic lapses. A dynamic lapse multiplier times the base rate is ...- Authors: James W Lamson, John M O'Sullivan, Timothy Hill
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Reserves - Annuities; Annuities>Variable annuities; Public Policy
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Life and Annuity Valuation Issues
second. But for now, the valuation rate is a dynamic rate, and it's based on a formula in the standard ... annuities and other annuities. They have different dynamic functions than life insurance, and those rates ...- Authors: Donna Claire, Meredith Ratajczak, Paul Skalecki
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Reserves - Annuities; Annuities>Variable annuities; Life Insurance>Reserves - Life Insurance; Life Insurance>Non-forfeiture benefits
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Asset-Liability Management
..........................................84 Dynamic Financial Analysis (DFA)...................... ... Tuttle. 1990. Managing Investment Portfolios: A Dynamic Process. 2nd ed. Warren, Gorham & Lamont. Basic/Intermediate ...- Authors: Society of Actuaries
- Date: Sep 2003
- Competency: Professional Values>Practice expertise; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management
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Hedging and Other Mitigation Techniques
different products, different benefits and different dynamic lapse assumptions, for example. Then I'll talk ... a ratchet design. We'll talk about static and dynamic lapses and how that can influence the capital ...- Authors: Michael J O'Connor, George Christopher
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Actuarial Profession>Standards of practice; Public Policy
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Appointed Actuary Forum
different requirements for how close my static and dynamic validations would have to come before I had confidence ... was replaced with something a little bit more dynamic. I hate to see what that would be offhand, but ...- Authors: Stephen Marco, Meredith Ratajczak, David A Ricci
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Actuarial Profession>Standards of practice; Financial Reporting & Accounting>Statutory accounting; Public Policy
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Introduction to Embedded Value
Introduction to Embedded Value 2003 Valuation Actuary Symposium, San Diego, CA. This session discussed ... period. In others, they are a little bit more dynamic. Again, there's very little to be gained from ...- Authors: Craig Reynolds, Lance Berthiaume, Matthew Clark
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Embedded value
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2003 Stochastic Modeling Symposium
2003 Stochastic Modeling Symposium Announcement of an upcoming 2003 Stochastic Modeling Symposium. ... only ones having to deal with uncertainties and dynamic models. Friday’s luncheon speaker will be Phelim ...- Authors: Martin Roy
- Date: Jul 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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Economic Capital—Recent Market Developments and Trends
Adequacy Ratio. Standard & Poor’s has created a dynamic model called “Financial Product Capital (FPC)” ... to measure the required economic capital. This dynamic model has been applied to non-insurance “books” ...- Authors: Hubert B Mueller
- Date: Jul 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Economic capital
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Predictive Modeling - Current Practices and Future Applications
Predictive Modeling - Current Practices and Future Applications A panel of actuaries and clinical ... them and do something about it. So that's a big dynamic there, and we've tried to get in front of our ...- Authors: Application Administrator, Richard L Liliedahl, Teresa Keane-North
- Date: Jun 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Health & Disability
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Report of the Individual Disability Experience Committee
Report of the Individual Disability Experience Committee This session discusses the progress ... effect on pricing? You don't know because of that dynamic between incidence and termination is missing.- Authors: David Morgan Andreae, Robert Beal, Douglas Taylor
- Date: Jun 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Experience Studies & Data>Disability
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How Much in Enough? Capital And Surplus Management for Health Entities
actuaries. We work in a world that is somewhat dynamic and particularly reactive. As a result, and in ... have tried to force health actuaries into using dynamic financial analysis (DFA). DFA is, essentially ...- Authors: James E Drennan, John Lloyd, Richard E Swift
- Date: Jun 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Health & Disability>Health insurance
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So, The Equity Markets Don't Always Go Up? Capital Markets Hedging of Variable Annuities and Equity-Indexed Annuities
following hedging considerations are explored: · Dynamic versus static hedging; · Full protection versus ... and Dan Patterson is going to talk about his dynamic hedging experience with EIAs. Before turning ...- Authors: Daniel Patterson, Marshall C Greenbaum, Jun Zhuo, D Kent Freeman
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Stochastic Modeling in the Financial Reporting World
segregated fund or a GMDB, if we were trying to do dynamic hedging and fitting data to it, then we've gone ... more realistic. For years, we've been doing dynamic capital adequacy testing as required under Canadian ...- Authors: Robert W Wilson, Ronald Harasym
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models
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Interest Rates Are On The Move: Is Your Company Prepared?
appropriately, you're going to have to set up for some dynamic assumptions on these products. Let’s go back to ... all the time, and we help companies set up their dynamic assumptions. We came up with the following formula: ...- Authors: Henry M McMillan, Ross Bowen, David Weinsier
- Date: May 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Finance & Investments; Life Insurance
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Ten Predictions for Risk Management
Ten Predictions for Risk Management The author makes 10 predictions of how risk management will ... from total quality management tech- niques or dynamic simulations to quantify operational risk. More ...- Authors: James Lam
- Date: May 2003
- Competency: Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Finance & Investments
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Variable Annuity Riders: Pricing and Risk Considerations in Today's Market Environment
A new type of GMAB that has come out offers a dynamic asset allocation strategy. What I mean by this ... Capital markets techniques, static versus dynamic hedging—there are a lot of pros and cons to all ...- Authors: Ari Lindner, Timothy Hill, Robert Stone
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Variable annuities; Enterprise Risk Management
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Economic Capital
experience. In addition, the modeling can be dynamic, reflecting dynamic investment strategies, management practices ... are some parts of the formula that are somewhat dynamic and take into account company experience. For instance ...- Authors: Dennis Lauzon, Hubert B Mueller, Ellen Woodruff
- Date: May 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Economic capital
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Building an Economic Scenario Generator
Building an Economic Scenario Generator This session at the SOA 2003 Washington, DC Spring ... becomes to maintain that. In our model we use at dynamic financial analysis (DFA), we've made some compromises ...- Authors: Hal Warren Pedersen
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments; Modeling & Statistical Methods>Scenario generation
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Simulation Technology for Managing Risk
Simulation Technology for Managing Risk The second of three articles exploring the new technology ... reliable versatile risk modeling. Data mining;Dynamic simulation models;Enterprise risk management=ERM;Risk ...- Authors: Lilli Segre Tossani
- Date: Feb 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Technology & Applications>Software
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A Unified Management and Capital Framework for Operational Risk
A Unified Management and Capital Framework for Operational Risk This article discusses the attributes ... systems, and external events1—is complex and dynamic. Qualitative tools are able to incorporate human ...- Authors: James Lam
- Date: Feb 2003
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Pricing Perpetual Fund Protection With Withdrawal Option
derived a closed form formula for pricing this dynamic guarantee if early withdrawal from the fund [before ... not permitted. This paper studies the pricing of dynamic protection without a maturity date, i.e., the investor ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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SOA Risk Management Task Force - Pricing For Risk Survey
Assumption PAD 84 22.76% Capital allocation 47 12.74% Dynamic lapse formula 40 10.84% Stochastic scenario analysis ... handled? Assumption stress testing 109 38.52% Dynamic lapse formula 74 26.15% Assumption PAD 48 16.96% ...- Authors: Society of Actuaries, David T Henderson
- Date: Dec 2002
- Competency: Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Pricing - Annuities; Life Insurance>Pricing - Life Insurance
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Asset Modeling Concepts
second type of validation is what I call dynamic validation. Dynamic validation involves comparison of the ... level by asset class and at a portfolio level. Dynamic validation involves comparison of the projected ...- Authors: Scott Houghton
- Date: Sep 2002
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Asset modeling