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Risk and Rewards Newsletter, August 2007, Issue No. 50
Risk and Rewards Newsletter, August 2007, Issue No. 50 Full version of Risk and Rewards Newsletter, ... 0 < Z < . References: Duffie, D. (1996). Dynamic Asset Pricing Theory, second edition, Princeton ...- Authors: Catherine Ehrlich, Richard S Mattison, Joseph Koltisko, Stephen Stone, Steven Scoles, Marc Altschull, Nicola P Barrett, Aaron Meder, Valdimar Armann, Daniel Blamont, Pierre Haviller, David Prieul
- Date: Jul 2007
- Publication Name: Risks & Rewards
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Risks & Rewards Newsletter, August 2005, Issue No. 47
even more realism is required, i.e., combining dynamic real world policyholder behavior with option valuation ... possibilities. Scenario generation is also critical for Dynamic Financial Analysis (DFA), an area of continued ...- Authors: Society of Actuaries, W Paul McCrossan, Michael J O'Connor, Steven Siegel, Joseph Koltisko, Application Administrator, Barry Freedman, Cees Dert
- Date: Aug 2005
- Publication Name: Risks & Rewards
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Investment Performance Attribution
Investment Performance Attribution This session from the 2003 SOA Orlando Meeting provides an overview ... good numbers. We're actually going through a dynamic measure of capital where we can actually measure ...- Authors: Catherine Ehrlich, Joseph Koltisko, Basil Rabinowitz, Fred Shen
- Date: Oct 2003
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Financial Reporting & Accounting
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Derivatives in an Insurance Context
Derivatives in an Insurance Context This session is from the 1995 SOA Spring Meeting. Panelists ... trying to run a reasonable, theoretically correct, dynamic solvency test. There is the choice of interest ...- 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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Arithmetic of Option Pricing
Arithmetic of Option Pricing This teaching session will examine option-pricing techniques, binomial ... replication. It turns out that we need to do a dynamic replication so that we work our way through this ...- Authors: Joseph Koltisko, Craig Merrill
- Date: Apr 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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SPDA Spread Management In A Rising Rate Environment
to define the necessary research relating to dynamic solvency testing wcre jointly awarded to Allan ... plan to have a report by mid-summcr 1994. l A dynamic solvency testing project on the historical perspec- ...- Authors: Prakash A Shimpi, Joseph Koltisko
- Date: Jun 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Annuities>Fixed annuities