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A Cautionary Note on Pricing Longevity Index Swaps
participants to hedge or gain exposure to longevity and mortality risks. This presentation offers a quantitative ... of death rates under a two-factor stochastic mortality model in a risk-adjusted probability measure, ...- 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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Weird Science: Dissection of Derivatives
shows off-balance sheet applications. Note that annuity hedging accounts for 53% of the applications ... covered in swaps, guaranteed minimum death benefit, the S&P 500 exposure and equity indexed annuities, and ...- Authors: Larry M Gorski, Stephen Reddy, Charlene Marie Barnes, Christopher T Anderson
- Date: Jun 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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So, The Equity Markets Don't Always Go Up? Capital Markets Hedging of Variable Annuities and Equity-Indexed Annuities
So, The Equity Markets Don't Always Go Up? Capital Markets Hedging of Variable Annuities ... market risk embedded in variable annuity and equity-indexed annuity products.. Asset modeling;Capital ...- Authors: Daniel Patterson, Marshall C Greenbaum, Jun Zhuo, D Kent Freeman
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Use of Derivatives by the Insurance Industry
types of derivative contracts are being used? Table 1 displays the total notional amount of option contracts ... and life/health insurers purchased during 1994. TABLE 1 1994 USERS OF DERIVATIVES, BY SIZE Life/Health ...- Authors: Larry M Gorski, Warren Luckner, David J Cummins, Lucien Burnett, Richard D Phillips, Thomas A McAvity
- Date: Oct 1996
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Derivatives in an Insurance Context
liability risks. This will concentrate not so much on mortality and morbidity risk, but rather on fixed-income ... trans- actions. For example, suppose you sell an annuity based on current rates, but the premium is not ...- Authors: John Mulholland, Bryan Boudreau, Joseph Koltisko
- Date: Apr 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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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
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Introduction to Credit Derivatives
and transparent and make the markets evolve. In 2000, Conseco had to restructure its debt and that's ... Many banks are regional. If you're a bank or an S&L in Texas, you're going to be overexposed to certain ...- Authors: Michael J Hambro, Gregory Henke, Craig Fowler, Kevin Reimer
- Date: Oct 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives; Public Policy
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Foreign Currency Swaps
of the capital markets and more active entry of U.S. insurance companies into the international insurance ... industry. As evidence of this potential, at present the U.S. consumer accounts for approximately 40% of the premiums ...- Authors: Randall Boushek, Patti Owens, Joseph C Lau, Michael B Murdoch
- Date: Apr 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Developing Optimized Investment Strategies for Life Insurance Companies
these concepts and tools be applied to life and annuity liabilities? MR. GREGORY J. ROEMELT: I'm a consultant ... more sense. So, let's get into the first example. Table 1 shows step 1, which is selection of interest rate ...- Authors: Michael Peskin, Stephen Reddy, Gregory J Roemelt
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives; Finance & Investments>Portfolio management - Finance & Investments
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Credit Derivatives
Merrill Lynch in New York, N.Y. Note: The chart(s) referred to in the text can be downloaded at: http://handouts ... players are. An interesting fact shown in this table in the upper right-hand corner relates to the banks’ ...- Authors: Jason Steigman, Michael R Vasseghi
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives