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The Mollification Analysis of Stochastic Volatility
The Mollification Analysis of Stochastic Volatility One of the most important problems in Finance is ... is the valuation of financial securities written on underlying assets whose prices are subject ...- Authors: Lijia Guo
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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Use of Derivatives by the Insurance Industry
Use of Derivatives by the Insurance Industry Presented at October 1996 Annual Meeting. The SOA ... co-sponsored a research project on the use of derivatives by the insurance industry, using annual statement ...- Authors: Larry M Gorski, Warren Luckner, David J Cummins, Lucien Burnett, Richard D Phillips, Thomas A McAvity
- Date: Oct 1996
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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A Primer on Credit Derivatives
explains the development of the credit derivative market, describes the most common types of credit derivatives ... instruments and explains the role they played in the financial market turmoil of 2008. Basel;Credit default ...- Authors: Stephen P D'Arcy, James P McNichols, Xinyan Zhao
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives
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So, The Equity Markets Don't Always Go Up? Capital Markets Hedging of Variable Annuities and Equity-Indexed Annuities
So, The Equity Markets Don't Always Go Up? Capital Markets Hedging of Variable Annuities and Equity-Indexed ... This session at the SOA 2003 Washington, DC Spring Meeting examines the nuts and bolts of implementing a ...- Authors: Daniel Patterson, Marshall C Greenbaum, Jun Zhuo, D Kent Freeman
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Options And Futures - A Teaching Session
from the 1984 SOA Atlanta Meeting is a teaching session of options and futures and discusses the basics ... basics of options and futures, hedging risks, the difference between hedging and arbitrage, taxation and ...- Authors: David P Jacob, Arthur L Rebell, Richard L Sega, Alan W Sibigtroth, James A Tilley
- Date: Apr 1984
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Valuing American Options in a Path Simulation Model
Options in a Path Simulation Model The goal of this paper is to dispel the prevailing belief that American-style ... impediment to the use of simulation models for valuing financial instruments. Discussions of this paper ...- Authors: James A Tilley
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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Hedging Variable Annuity Guarantees With Long-Dated Equity Derivatives
distribution channels has resulted in a proliferation of exotic options embedded in variable annuity products ... Accounting Principles=GAAP;Liquidity;National Association of Insurance Commissioners=NAIC;Risk-based capital=RBC; ...- Authors: Michelle Smith, Roma Jakiwczyk, Edward Wilson, Mark Evans
- Date: Nov 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Annuities>Variable annuities; Finance & Investments>Derivatives
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Derivatives in an Insurance Context
This session is from the 1995 SOA Spring Meeting. Panelists discuss practical uses of derivatives, including ... equity-linked notes - ELNs and OTC puts. From Record of Society of Actuaries Vol. 21, No. 1. Asset liability ...- Authors: John Mulholland, Bryan Boudreau, Joseph Koltisko
- Date: Apr 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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What Are Derivatives? How to Make Money with Them and Why Governments Care
What ... and Why Governments Care 1994 SOA Spring Meeting, Orlando. In this session the speaker provided an ... an overview of derivatives including: 1. Definition. 2. Uses. 3. Types of risks - market ...- Authors: R Stephen Radcliffe, Charles R Taylor
- Date: Apr 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Rainfall Insurance
related products. The authors gathered rainfall data in Mexico City over a period of five decades. This ... showed that the time series data is stationary and normally distributed. Therefore, the authors applied ...- Authors: Tapen Sinha, Edgard Baqueiro
- Date: Jan 2006
- Competency: Results-Oriented Solutions>Actionable recommendations; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Forecasting