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Immunization Under Stochastic Models of the Term Structure
(b) The price P(t,s) at time t of a pure discount bond which matures at time s (t<~s) is determined by ... assessment at time t, of the segment /r~T'l. t < T< s} of the spot rate process over the term of the bond ...- Authors: Phelim Boyle
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Modeling & Statistical Methods>Stochastic models
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Stochastic Immunization: Charts 5-8
Stochastic Immunization: ... of Actuaries held in San Diego, CA, June 22-23, 2000 Discount rates=Interest rates;Market value of entities;Interest ... entities;Interest rate risk; 17873 6/1/2000 12:00:00 AM ...- Authors: Josephine Marks, Scott E Navin, Steven Craighead
- Date: Jun 2000
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models
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The Effect of Deflation or High Inflation on the Insurance Industry
real and the fear of this scenario has led the U. S. Federal Reserve, and the central banks of other ... basket of representative goods over time. In the U.S., there are approximately 80,000 goods in 200 categories ...- Authors: Stephen P D'Arcy, Kevin Ahlgrim
- Date: Feb 2012
- Competency: External Forces & Industry Knowledge
- Topics: Economics; Global Perspectives; Life Insurance; Modeling & Statistical Methods>Stochastic models
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Guaranteed Benefits in Incomplete Markets and Risk Analysis
Guaranteed Benefits in Incomplete Markets and Risk Analysis This paper presents a methodology ... guaranteed minimum death benefit of a variable annuity in a market model with jumps. Recent developments ...- Authors: George N Argesanu
- Date: Sep 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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Weather Derivatives and Short-Period Rainfall Indices
Weather Derivatives and ... 8 15 22 29 Day of Month T e m p e r a t u r e ( d e g . C ) Daily Rainfall Accumulations ... 22 29 Day of Month D a i l y A c c u m u l a t i o n ( m m ) Hourly Temperatures ...- Authors: Barry John Turner
- Date: Jan 2007
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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Some Aspects of Statement of Financial Accounting Standards No. 87
assets would be random. Other factors (e.g. mortality) are supposed static. Chapter 1 describes the ... information about rates implicit in current prices of annuity contracts that could be used to effect settlement ...- Authors: Daniel Dufresne
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Pension accounting
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Risk-Based Capital Requirements on Variable Annuities with Guarantees
2004, Society of Actuaries Note: The chart(s) referred to in the text can be found at the end of ... on Variable Annuities... 3 Commissioner's Annuity Reserve Valuation Method (CARVM) expense allowance ...- 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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Analysis of the Ruin Probabilty Using Laplace Transforms and Karamata Tauberian Theorem
decays exponen- tially fast as the initial capital u → ∞. In this note, the asymptotic behavior of the ... presents an exponential decay as the initial capital u→∞ (Cramer, 1930). If the Cramer-Lundberg condition ...- Authors: CORINA DANA CONSTANTINESCU, Enrique Thomann
- Date: Sep 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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Predictive modeling
Predictive modeling Summary of SOA research report "Optimizing Risk Retention" ... tables;Lapse rates;Life insurance;Monte Carlo simulation;Mortality modeling;Predictive modeling 6442472891 11/1/2016 ...- Authors: Kai Kaufhold
- Date: Nov 2016
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Reinsurance News
- Topics: Life Insurance>Reserves - Life Insurance; Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models; Reinsurance>Life reinsurance
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Stochastic Immunization
Stochastic Immunization ... of Actuaries held in San Diego, CA, June 22-23, 2000 A discussion of how stochastic modeling techniques ... structure;Data quality;Interest rate risk; 17994 6/1/2000 12:00:00 AM ...- Authors: Josephine Marks, Claus S Metzner, Scott E Navin, Steven Craighead, Frederick Slater, Jose Siberon
- Date: Jun 2000
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models