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Variable Payout Annuities
Variable Payout Annuities In this paper, the authors assess the value of a GSA-type annuity ... authors assess the value of a GSA-type annuity within a retiree's portfolio. Variable annuities;Group ...- Authors: Phelim Boyle, Mary Hardy, Anne MacKay, David Morris Saunders
- Date: Dec 2015
- Competency: External Forces & Industry Knowledge
- Topics: Pensions & Retirement>Plan design
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Variable Payout Annuities
authors assess the value of a GSA-type annuity within a retiree's portfolio. Variable annuities;Group ... value of a group self-annuitization type annuity within a retiree’s portfolio. The report was authored by ...- Authors: Phelim Boyle, Mary Hardy, Anne MacKay, David Morris Saunders
- Date: Dec 2015
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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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Abstracts from Various Actuarial Research
SOME CONSEQUENCES OF MORTALITY FUNCTION Farrokh Guiahi The notion of mortality function is given a ... to the problem of margin determination for a mortality function. vii A STATISTICAL APPROACH TO ...- Authors: Phelim Boyle, Calvin D Cherry, Mark Evans, Farrokh Guiahi, Charles E Johnson, Karl K S Lee, Harry H Panjer, Lee M Tang, Basil A Xavier, Murray Silver, Walter J Mays
- Date: May 2013
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Population Waves and Fertility Fluctuations: Social Security Implications
Population ... to changes in the env i ronment as h i s to r i ca l s tud ies have shown. D i f fe rent models ... ions . The purpose of the present paper i s to d i scuss some of the methods by which fe r ...- Authors: Phelim Boyle, Ruth Freedman
- Date: Jan 1984
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House; Transactions of the SOA
- Topics: Demography
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Quasi-Monte Carlo Methods in Numerical Finance
intervals: g:={~-,~/~],~-l~], ,~-l[~'4], ~-l[Vs] ' ~-i[a/s], ~-lp~], ~-,[7/~]} N=I N~3 N=7 i (5) ... Monte Carlo approaches. For these cases we require s dimensional sedluences of "random" numbers. We discuss ...- Authors: Phelim Boyle, Ken Seng Tan, Corwin Joy
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Simulation
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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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The Comparison of Group Life Benefit Schedules
The Comparison of Group Life Benefit Schedules Group life insurance often represents ... Assumptions;Death benefits;Inflation;Life insurance;Mortality rates=Mortality tables=Death rates ;Premiums;Survivor ...- Authors: Phelim Boyle
- Date: Jan 1979
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Influence decisions
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance>Group plans - Life Insurance
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The 1/n Pension Investment Puzzle
indices: • The S&P 500 Large Cap (Large Cap), • The S&P Mid Cap 400 (Mid Cap), • The Russell 2000 Small Cap ... the five assets in the pension plan are given in Table 1. These descriptive statistics were estimated using ...- Authors: Phelim Boyle, Heath Windcliff
- Date: Jan 2004
- Competency: External Forces & Industry Knowledge
- Topics: Pensions & Retirement>Defined contribution and 401k plans; Pensions & Retirement>Pension investments & asset liability management
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Suboptimality of Asian Executive Indexed Options
Suboptimality ... H4 = 110 K = 90 Sample Price Paths Stock, S Benchmark, H Strike, K • Sˆ4 = 4 √ S1S2S3S4 = ... 8 0.9 1 Payoffs P ro b a b il it y d is tr ib u ti o n Empirial CDFs of AT , A ⋆ T and AˆT ...- Authors: Phelim Boyle, Jit Seng Chen, Carole L Bernard
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives