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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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Why U.S. Insurers Fared Better than Banks: Did Key Differences Give Insurers an Edge during the Financial Crisis?
Why U.S. Insurers Fared Better than Banks: Did Key Differences Give Insurers an Edge during the Financial ...- Authors: Max Rudolph, RICK BEARD
- Date: Mar 2013
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Investment policy; Finance & Investments>Investment strategy - Finance & Investments; 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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Credit Risk Modeling For Life Insurers
Credit Risk Modeling For Life Insurers This session covers the differences between quantitative ... available models, such as J. P. Morgan’s Credit Metrics and Moody’s/KMV Portfolio Manager. From the Record ...- Authors: Larry Rubin, Martin le Roux, Walid Shinnawi
- Date: Jun 2003
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Life Insurance>Pricing - Life Insurance
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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
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Private Placement Bond Credit Risk Experience Study Released
report and associated fully functional Excel pivot table file can be downloaded from: https://www.soa. ... results could be af- fected. The results in this table should be interpreted with caution because the ...- Authors: R Holman
- Date: Aug 2016
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Investments; Finance & Investments>Portfolio management - Finance & Investments