1
-
10
of
15
results (0.59 seconds)
Sort By:
-
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
-
Risk-Based Capital Requirements on Variable Annuities with Guarantees
2004, Society of Actuaries Note: The chart(s) referred to in the text can be found at the end of ... on Variable Annuities... 3 Commissioner's Annuity Reserve Valuation Method (CARVM) expense allowance ...- Authors: Jeffrey A Leitz, Geoffrey Hancock, Dominique Lebel
- Date: Oct 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Variable annuities; Modeling & Statistical Methods>Stochastic models
-
Stochastic Pricing
Stochastic Pricing This session at the SOA 2001 Toronto Spring Meeting offers an overview ... behavior. An example is given using a variable annuity product. Arbitrage;Asset modeling;Guaranteed minimum ...- Authors: W Steven Prince, Timothy Hill, Chris Stiefeling, Michael Bean
- Date: Jun 2001
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Pricing - Annuities; Modeling & Statistical Methods>Stochastic models
-
A General Formula for Option Prices in s Stochastic Volatility Model
A General Formula for Option Prices in s Stochastic Volatility Model This presentation considers the ... stochastic volatility. The presentation shows how Parseval’s theorem may be used to express those prices as Fourier ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods>Stochastic models
-
Stochastic Modeling in the Financial Reporting World
asked to look at the risk inherent in guaranteed annuity options on deferred annuities in our U.K. business ... objective was to model the embedded guaranteed annuity option and to determine an economic risk profile ...- Authors: Robert W Wilson, Ronald Harasym
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models
-
Modeling: Basic Training
Modeling: Basic Training Provides a how-to session on modeling assets and liabilities ... assets and liabilities in the Valuation Actuary's work to comply with the Standard Valuation Law. Comparisons ...- Authors: Arnold Dicke, Meredith Ratajczak
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Reserves - Annuities; Health & Disability>Health insurance; Life Insurance>Reserves - Life Insurance; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
-
Real-Time Stochastic Analysis
MODELS 1 1 1 i ~ , I~T~ AS~ETMO°EL I I O,SC~T~*~S~T MOOC~ I I O,SCRETE ^SSETMO°~ I REAL-T IME STOCHASTIC ... interest rates, and so we hit a 5% guarantee on an annuity line. For example, we're starting to see that ...- Authors: Frederick W Jackson, Mel Stein
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Stochastic models
-
Risk-Based Capital
experience, he has insights to share on both the U.S. and Canadian RBC systems. Arnold Greenspoon is ... force on C3 Phase II and the Academy’s Variable Annuity Reserve Working Group. Our agenda is as follows: ...- Authors: Robert G Meilander, Arnold N Greenspoon, Charles Dana Tatro
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Stochastic models; Public Policy
-
State-of-the-Art Risk Management System and Application
State-of-the-Art Risk Management System and Application This session from the 1995 SOA Boston ... spread analysis for a single premium deferred annuity SPDA. From the Record of the Society of Actuaries ...- Authors: Brian Trust, Douglas A George
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Stochastic models
-
Drawing Appropriate Statistical Inferences
percentiles. 4. Certifying anticipated mortality under XXX in a mathematically concise way. Guaranteed ... Guaranteed minimum accumulation benefits=GMAB;Mortality modeling;Risk-based capital=RBC;Variable annuities; ...- Authors: Douglas Robbins
- Date: Sep 2003
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Stochastic models