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Residual Risk When Hedging Delta and Rho of Equity Options
Residual Risk When Hedging Delta and Rho of Equity Options This article explores the effectiveness of hedging ... delta and rho of equity options. This provides insight into the frequency and severity of losses due to ...- Authors: Mark Evans
- Date: Mar 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Enterprise Risk Management>Capital markets; Finance & Investments>Derivatives
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Rethinking Fixed Deferred Annuities: Applying a Risk-Based Economic Value Approach
Applying a Risk-Based Economic Value Approach Actuaries have traditionally recognized the links between ... between risk and value, and in recent years have begun to incorporate aspects of modern financial economic ...- Authors: Dominique Lebel, Noel Harewood, Mark Scanlon
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Annuities>Fixed annuities; Finance & Investments>Economic value
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Fixed Annuities in a Low Interest Rate Environment
Environment Discussion of how the weak equity environment has led to a growth in the sale of fixed annuities ... description of typical product design features and changes in the nonforfeiture laws to accomodate the low interest ...- Authors: Susan Saip
- Date: Apr 2003
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Product Matters!
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Marketing and distribution - Annuities