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A Cautionary Note on Pricing Longevity Index Swaps
A Cautionary Note on Pricing Longevity Index Swaps In December 2007, Goldman Sachs launched a product called QxX index swap, which is designed to allow market participants to hedge or gain ...- Authors: Siu-Hang Li, Rui Zhou
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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C3 Phase II – Practical Insights for this Year End
C3 Phase II – Practical Insights for this Year End A discussion of the possible effort required and impacts resulting from the implementation of C3 Phase II for establishing risk-based capital ...- Authors: Timothy J Ruark
- Date: Dec 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: The Financial Reporter
- Topics: Annuities>Capital - Annuities; Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Stochastic models; Public Policy
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A Users Guide to the Inflation Generator
A Users Guide to the Inflation Generator This is the User's Guide that accompanies the Inflation Generator Excel spreadsheet which is associated with the research report entitled 'The ...- Authors: Stephen P D'Arcy, Kevin Ahlgrim
- Date: Feb 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Economics; Modeling & Statistical Methods>Stochastic models
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Model Efficiency Study Results Report
Model Efficiency Study Results Report The Financial Reporting and Product Development Sections, along with the Committee on Life Insurance Research are pleased to make the following report ...- Authors: Mark E Alberts, Mary J Bahna-Nolan, Susan Deakins, Trevor Howes
- Date: Nov 2011
- Competency: External Forces & Industry Knowledge
- Topics: Modeling & Statistical Methods>Stochastic models
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State-of-the-Art Risk Management System and Application
State-of-the-Art Risk Management System and Application This session from the 1995 SOA Boston Meeting discusses constructing and using a comprehensive, credible risk management system with a ...- Authors: Brian Trust, Douglas A George
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Stochastic models
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Design a Stochastic Valuation/Forecast System
Design a Stochastic Valuation/Forecast System Panelists at this session of the SOA 1998 Maui II Spring Meeting present methods for scenario generation and establishing stochasitc models for ...- 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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Stochastic Immunization: Charts 5-8
Stochastic Immunization: Charts 5-8 These are Charts 5-8 from a presentation entitled 'Stochastic Immunization'. From a session at a meeting of the Society of Actuaries held in ...- 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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A Numerical Method for Computing the Probability Distribution of Total Risk of Portfolio
A Numerical Method for Computing the Probability Distribution of Total Risk of Portfolio In the present paper, we propose and investigate a numerical method of computing the probability ...- Authors: Rohan J Dalpatadu, Andy Tsang, Ashok K Singh
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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An Optimal Model for Asset Liability Management
An Optimal Model for Asset Liability Management This paper addresses the stochastic modeling for managing asset liability process. We start with developing a jump-diffusion process for evaluating ...- Authors: Lijia Guo
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Stochastic models
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The Mollification Analysis of Stochastic Volatility
The Mollification Analysis of Stochastic Volatility One of the most important problems in Finance is the valuation of financial securities written on underlying assets whose prices are ...- Authors: Lijia Guo
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models