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Options on Bonds and Applications to Product Pricing
under universal life and single premium deferred annuity contracts. Options are also granted in the investment ... this conclusion are summarized in the following table. Call-Free Bond Prl,c Yield $101.45 12.74% ...- Authors: Robert P Clancy
- Date: Oct 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments
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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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Quarterly Focus - Customizing LDI
approach. To do so, we look at specific sectors of the S&P 500 and find that sectors’ varying circumstances ... situation? APPliCAtioNs of ldi ACross vArious s&P 500 seCtors Our research has shown that three key ...- Authors: Aaron Meder
- Date: Aug 2008
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Finance & Investments; Pensions & Retirement>Funding
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Translating Bond Default Experience Studies into a Pricing Deduction
*Copyright 2000, Society of Actuaries Note: Tables 3–5, and the Charts for this session are not available ... underlying probability of default, like a mortality table. We’ve considered the bond weighting category ...- Authors: Application Administrator, Peter Tilley, David X Li
- Date: May 1999
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments
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Analyzing Credit Concentrations
CONTINUED ON PAGE 20 c H a i R s P e R s o n ’ s c o R n e RR i s k Q U a n t i F i c a t i o n diane ... effects and second-order effects, as summarized in Table 1. To attribute a portion of this risk to migration ...- Authors: Diane M M T Reynolds
- Date: Jun 2009
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Finance & Investments
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State-Of-The-Art Profit Measurement
There was a study that was released in December 2000 where they calculated the embedded value for several ... all your lines are producing good returns. Table 1 is a hypothetical example that might show some ...- Authors: Arnold Dicke, Mark Milton, Kevin J Howard
- Date: Jun 2001
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments; Financial Reporting & Accounting
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Case Studies
Case Studies 1992 SOA Regional Meeting, Anaheim. This panel used case studies to discuss adequacy ... issues to management, single premium deferred annuity persistency, and credit risk. Asset allocatio ...- Authors: Shane A Chalke, Patricia Guinn, Gregory D Jacobs, Stanley B Tulin, Mark G. Doherty
- Date: Jun 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments
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Summary of Final Report: 1986-1989 Credit Risk Event Loss Experience, Commercial Mortgage Loans and Private Placement Bonds
Traditionally, actuarial techniques are used to study mortality and morbidity experience. But an SOA study demonstrates ... that similar methods can be used to analyze the mortality and morbidity of assets i.e., credit risk events ...- Authors: Warren Luckner, Mark G. Doherty
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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C-1 Risk and Investment
pricing a term product and a client asks what mortality levels we expect, we can tell the client what ... the decision for the client as to what level of mortality he should be using in placing his term products ...- Authors: Gregory D Jacobs, Irwin T Vanderhoof
- Date: Jan 1988
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods>Scenario generation