1
-
8
of
8
results (0.63 seconds)
Sort By:
-
Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty
Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty In this paper ... uncertainty, the asset return uncertainty, and the mortality uncertainty. By using dynamic programming, analytical ...- Authors: Ken Seng Tan, Hailiang Yang, Zhongfei Li
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Economics; Economics>Financial economics
-
Real-world interest rate models in a low interest rate environment
implications for interest- sensitive life insurance and annuity products. For instance: • Sustained low interest ... policies issued between 2003 and 2015. The following table sum- marizes the interest rate guarantees by issue ...- Authors: Marshall Lin, Jean-Philippe Larochelle, Francisco Orduna
- Date: Dec 2015
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: The Modeling Platform
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
-
Real-World Interest Rate Models and Current Practices
Orduña, Marshall Lin and Jean-Philippe Larochelle A s actuaries we often find ourselves focusing on the ... substantially in the last decade as life and annuity products have become more complex. The need for ...- Authors: Jean-Philippe Larochelle, Marshall Lin, Francisco Orduna
- Date: Jul 2015
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
-
The Impact of Bond Default Risk on Retirement Benefit Obligations
the discount rate assumption. A comparison to mortality is useful. Even though the chance of death for ... healthy young employees is very low, reasonable mortality is assumed rather than dismissed as immaterial ...- Authors: Steven Draper
- Date: Jan 2015
- Competency: Strategic Insight and Integration>Big picture view; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Pension Section News
- Topics: Economics>Financial economics; Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]
-
Discussion of Pricing and Risk Management of Variable Annuities with Multiple Guaranteed Minimum Benefits,
will reduce this correlation significantly. Table 12 shows that the CTE90 for “DI” slightly exceeds ... have been vibrant and exciting areas of variable annuity (VA) pricing and risk/capital management, especially ...- Authors: Mark Evans, Application Administrator
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Practice Forum
- Topics: Annuities>Variable annuities; Economics>Financial economics; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
-
Setting the Level of Margins in a Principles-Based Valuation Using a Cost-of-Capital Approach with Exponential Utility
character- ized by U (x) = e-kx. That is, the utility of profits equal to best estimates is U (0) = 1, and ... the equation, given values of ROE, i and r. The table below shows values of k as they depend on ROE and ...- Authors: Stephen Strommen
- Date: Jun 2006
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: The Financial Reporter
- Topics: Economics>Financial economics; Enterprise Risk Management>Capital management - ERM; Financial Reporting & Accounting>Fair value accounting
-
Understanding the Valuation of Public Pension Liabilities: Expected Cost versus Market Price
values pension liabilities in a way that mirrors annuity pricing. This is why MVL measurements that are ... of margins, profit, and other factors, actual annuity pric- es would generally be higher than the theoretical ...- Authors: Paul Angelo
- Date: Jan 2016
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: In The Public Interest
- Topics: Economics>Financial economics; Pensions & Retirement>Assumptions and methods; Pensions & Retirement>Defined benefit plans; Pensions & Retirement>Funding; Pensions & Retirement>Pension accounting; Pensions & Retirement>Public sector plans
-
The Fair Valuation of Insurance Liabilities: The Information Set Perspective
The Fair Valuation of Insurance Liabilities: The Information Set Perspective ongoing discussion ... considered whether or not it made economic sense for an annuity writer to initiate hedging activities in reac- ...- Authors: Michael F Davlin
- Date: Mar 2006
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: The Financial Reporter
- Topics: Economics>Financial economics; Enterprise Risk Management>Capital management - ERM; Finance & Investments>Capital management - Finance & Investments; Financial Reporting & Accounting>Fair value accounting