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Pricing and Managing Derivative Risk: An Integral Risk Function
Function Discusses the types of risks that are considered derivatives, the pricing of a derivative, how ... specific examples of how companies are managing them. From the 2002 Record of Society of Actuaries, Volume ...- Authors: James P Greaton, Paul Haley, Novian Junus, Marshall C Greenbaum, Howard Zail
- Date: Oct 2002
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Engaging the Fear Gauge: Observations on Counterintuitive VIX Behavior
Engaging the Fear Gauge: Observations on Counterintuitive VIX Behavior Describes the construction of the ... mathematically how the variance of investment returns is reflected in the price of the index. Provides ...- Authors: Edward Tom, Bogdan Ianev
- Date: Aug 2013
- Competency: Strategic Insight and Integration>Effective decision-making
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives
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Foreign Currency Swaps
Swaps This session at the SOA 1990 Hartford Spring Meeting presents an overview of foreign currency swaps ... swaps, participants and growth in the market. Case studies are discussed. Asset liability management=ALM;Currency ...- Authors: Randall Boushek, Patti Owens, Joseph C Lau, Michael B Murdoch
- Date: Apr 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Rainfall Insurance
related products. The authors gathered rainfall data in Mexico City over a period of five decades. This ... showed that the time series data is stationary and normally distributed. Therefore, the authors applied ...- Authors: Tapen Sinha, Edgard Baqueiro
- Date: Jan 2006
- Competency: Results-Oriented Solutions>Actionable recommendations; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Forecasting
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Swap It! Variable M&E Revenuefor Fixed M&E Revenue
markets decline and become more volatile, the likelihood of significant guaranteed benefit claims increases ... increases from mortality and expense fees declines. The article illustrates how to use a derivative contract ...- Authors: Marshall C Greenbaum, Adam Zivitofsky
- Date: Feb 2002
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Enterprise Risk Management>Financial management; Finance & Investments>Derivatives
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A Note on Hedging and the Put Option
A Note on Hedging and the Put Option This note develops the optimality of the put option as a hedging ... against the downside risk of the stock price. In this short note, we ask two questions with the hedge strategy ...- Authors: Xiaochuan Wang
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments
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Introduction to Credit Derivatives
Introduction to Credit Derivatives This session from the 2003 SOA Orlando Meeting covers credit derivatives ... CDSs, the advantages and disadvantages of credit derivatives and the regulatory overview. From the Society ...- Authors: Michael J Hambro, Gregory Henke, Craig Fowler, Kevin Reimer
- Date: Oct 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives; Public Policy
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Accounting for Investments
Spring Meeting. The investment environment has undergone significant change over the last several years ... years through the introduction of many sophisticated investment vehicles. This session provides an update ...- Authors: Douglas C Kolsrud, Cathy Engelbert, Arnold Brousell
- Date: May 1996
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives; Financial Reporting & Accounting; Modeling & Statistical Methods>Asset modeling
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Concurrent Session 4B: Using Factor Investing in Strategic Asset Allocation
factor-based optimization in the Strategic Asset Allocation process. The session will review a factor-based ... factor-based investing approach and cover the top-down macroeconomic drivers of risk and return for various asset ...- Authors: Society of Actuaries, Ward Bortz, Peter H Sun
- Date: Mar 2018
- Competency: External Forces & Industry Knowledge>External forces and business performance; Professional Values>Ethical standards; Strategic Insight and Integration>Big picture view; 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: Finance & Investments>Asset allocation; Finance & Investments>Derivatives; Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Asset-Backed Securities
Meeting. In this teaching session, various forms of asset-backed securities, e.g., credit cards, auto ... examined. Also discussed is basic structures and the risks and opportunities and critical parameters involved ...- Authors: Francis Sabatini, D L Auxier
- Date: May 1996
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives