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Interest Rate Model Risk
Chart 1 shows a typical single premium.deferred annuity (SPDA) block and supporting asset portfolio, and ... years, and I work with some big annuity writers. In 1993, my annuity writers didn't have much problem ...- Authors: David N Becker, Michael E Mateja, Douglas A George, Peter Fitton
- Date: Jan 1996
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Practitioners' Forum
the future. Asset defaults are deterministic, mortality is deterministic, and so on. In the absence of ... underlying model. So we will test for sensitivity to mortality, asset default, expense morbidity, and others ...- Authors: David N Becker, Charles D Friedstat, Michael E Mateja, Stephen A J Sedlak
- Date: Sep 1995
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management; Financial Reporting & Accounting>Statutory accounting