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  • Hedging Variable Annuity Guarantees With Long-Dated Equity Derivatives
    expect- ed to be put on in the future under a dynamic hedging strategy. Furthermore, gap risk—the risk ... core long-dated derivatives supple- mented by dynamic hedging to provide added flexibility in responding ...

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    • 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
  • Risk Management, November 2005, Issue No. 6
    “threats” to one another but rather part of a new dynamic and in- clusive approach. I sum up this comment ... expect- ed to be put on in the future under a dynamic hedging strategy. Furthermore, gap risk—the risk ...

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    • Authors: John Hele, Francis Sabatini, Hubert B Mueller, Steven Siegel, Donald F Mango, David L Ruhm, Michelle Smith, Henk van Broekhoven, H Felix Kloman, Kevin Joel Dowd, Roma Jakiwczyk, David Ingram, Mark Evans, Jens Alkemper
    • Date: Nov 2005
    • Publication Name: Risk Management
  • Annuity Risk-Management Seminar: Variable Annuity Guarantees Modeling: Incorporating Derivative-Based Hedging
    program. Emphasis is placed on static versus dynamic hedges. MR. MICHAEL J. O’CONNOR: Welcome to ... assumptions in terms of lapse rates, both static and dynamic. Your scenario generator is key to this as well ...

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    • Authors: Michael J O'Connor, Michelle Smith
    • Date: May 2005
    • Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Publication Name: Record of the Society of Actuaries
    • Topics: Annuities>Guaranteed living benefits; Annuities>Investment strategy - Annuities
  • The Financial Reporter
    The Financial Reporter The full version of The Financial Reporter, Issue No. 54, September 2003. ... developing factors for MGDB products including dynamic lapses and (iii) how to include product features ...

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    • Authors: James W Lamson, Max Rudolph, Raymond Ted Schlude, John F Bevacqua, Ronald Harasym, Andres Vilms, Rebecca Wang, Michelle Smith, Tara J P Hansen, SARA L SKOKAN
    • Date: Sep 2003
    • Publication Name: The Financial Reporter
  • The Actuary, Vol.35, No.2, February 2001
    The Actuary, Vol.35, No.2, February 2001 Full version of The Actuary Newsletter Volume ... assessment of long-term risks, modeling of complex dynamic populations, pric- ing risk transfer, and estimating ...

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    • Authors: Anna M Rappaport, Craig Kalman, Bruce Stahl, Michelle Smith, David M Knox
    • Date: Feb 2001
    • Publication Name: The Actuary Magazine
  • A Sure Way to Increase Efficiency: Make Insurance Systems Speak to Each Other
    A Sure Way to Increase Efficiency: Make Insurance Systems Speak to Each Other In session 3PD of the New York ... resources. This framework is intended to be dynamic and to accommodate continual change.

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    • Authors: Steve Rydzewski, Cheryl Krueger, Darin Zimmerman, Michelle Smith, Mark Orlandi
    • Date: Oct 1998
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Record of the Society of Actuaries
    • Topics: Technology & Applications
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