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The Economic Capital and Risk Adjustment Performance for VA with Guarantees with an Example of GMAB
k using a specific example: a simple variable annuity (VA) with guaranteed minimum account benefit (GMAB) ... g. 2. Economic Capital for the Variable Annuity with Guarantees We use two random variabl ...- Authors: Jun Zhuo, Seong Weon Park
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Economic capital
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Economic Capital—Recent Market Developments and Trends
Economic Capital—Recent Market Developments and Trends This article presents recent developments ... based on the work of the EC subgroup of the SOA's Risk Management Task Force. Economic capital;Risk ...- Authors: Hubert B Mueller
- Date: Jul 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Economic capital
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Economic Capital
Economic Capital Panelists at this session of the SOA 2003 Washington, DC Spring ... force including an industry survey, one company's implementation, and a regulator. Capital management;Conditional ...- Authors: Dennis Lauzon, Hubert B Mueller, Ellen Woodruff
- Date: May 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Economic capital
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Risk Sharing and Capital Allocation
for some individual assets (see Myers & Brealey (2000) for an introduction to financial theory and different ... Coherently. RISK, 10, p. 68-71. Patrik, G., Bernegger, S. & Ru¨egg, M.B. (1999). The use of Risk Adjusted Capital ...- Authors: Ole Hesselager, Ulrik Andersson
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital