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Capital and Hedge Modeling for Variable Annuities
Society of Actuaries Note: The chart(s) referred to in the text can be found at http://handouts ... Dutch and Swiss statutory capital initiatives. The U.S. statute, SCL2, is just beginning and AUSTI Guideline ...- Authors: Hubert B Mueller, Application Administrator, Ulrich Stengele
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital; Modeling & Statistical Methods>Stochastic models
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Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value
(L (T )− V (T ))+ Equity S +D h V (T )− L (T ) + (L (T )− V (T ))+ i Table 1: Total Insurer Economic ... (T )− Li (T ) + Li (T ) µ 1− V (T )L(T ) ¶+# Table 2: Internal Balance Sheet for Line of Business i ...- Authors: Michael Sherris, John van der Hoek
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital; Finance & Investments>Investment strategy - Finance & Investments