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Natural Hedging of Life and Annuity Mortality Risks
Hedging of Life and Annuity Mortality Risks The values of life insurance and annuity liabilities move in ... directions in response to a change in the underlying mortality. Natural hedging utilizes this to stabilize aggregate ...- Authors: Samuel Cox, Yijia Lin
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Portfolio management - Finance & Investments
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Stochastic Analysis of the Interaction Between Investment and Insurance Risks. Fellowship Credit Research Paper
insurance policies is studied in a stochastic mortality and interest environment. The first two moments ... strategy;Lapse rates=Lapses;Life insurance;Mortality rates=Mortality tables=Death rates ;Yield curve=Term structure; ...- Authors: Gary Parker
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Life Insurance>Investment strategy - Life Insurance
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Dynamic Spanning of Contingent Claims
risk-free asset, denoted B, and n stocks, denoted S 1 . . . . . Sn. An investor may take positions ... changes by ~(t)lB(t+dt) - B(t)l + Ol(t)lS~(t+dt) - S~(t)l + , • + 0n(t)lS,~(t+dt) - Sn(t)]. If we add ...- Authors: Hal Warren Pedersen
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Credit Portfolio Optimization under Condition of Multiple Credit Transition Metrics
each country and industry segment. Here is a table that clearly compares the differences among these ... which our later work largely depends on. 6 TABLE 2-1 Popular Models of Credit Risk Analysis ...- Authors: Min Jie (Helen) Han
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Optimal Hedge Ratio and Hedge Efficiency: An Empirical Investigation of Hedging in Indian Derivatives Market
ordinary least squares (OLS) method. S = a + b. F + u (3) Where “a” is the intercept term (expected ... price. .S a b F uΔ = + Δ + (4) Where, terms “a” and “b” are constants, SΔ = S(t) - S(t-1) and ...- Authors: Svd Nageswara Rao, Sanjay Kumar Thakur
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Effects of Integrated Risk Management on Mean and Variance of Cost Efficiency of Property/Liability Insurance Industry
well as commodity risks. This paper uses the U.S. property and liability insurance industry as a research ... addition, the factors influencing the degree of u are exogenous and determined by the managerial decisions ...- Authors: Min-Ming Wen, Hong-Jen Lin
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Portfolio management - Finance & Investments
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Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
its total risk capital is TCEXj |S (sq) = E (Xj|S > sq) , (4) where S = X1 + X2 + · · ·Xn. Certainly, ... the whole company, i.e. TCES (sq) = nX j=1 E (Xj|S > sq) . (5) In this paper we advance (4) and (5) ...- Authors: Edward Furman, Zinoviy Landsman
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments