1
-
5
of
5
results (0.36 seconds)
Sort By:
-
Optimizing CPPI Investment Strategy for Life Companies
Optimizing CPPI Investment Strategy for Life Companies Derives appropriate hedge ratios for CPPI ... value at risk;variable annuities;risk metrics;Dynamic simulation models 6442484022 8/1/2018 12:00:00 ...- Authors: Aymeric Kalife, Saad Mouti
- Date: Aug 2018
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risks & Rewards
- Topics: Annuities>Variable annuities; Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
-
On the Importance of Hedging Dynamic Lapses in Variable Annuities
On the Importance of Hedging Dynamic Lapses in Variable Annuities Decomposes guaranteed minimum maturity ... GARCH model. Performs sensitivity analysis on dynamic lapse assumption. asset liability management=ALM; ...- Date: Aug 2015
- Competency: Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Annuities>Variable annuities; Finance & Investments>Asset liability management
-
Integrating Robust Risk Management Into Pricing: New Thinking For VA Writers
hedging/ derivatives teams, which might include dynamic hedging, semi-static hedges, and such. - Insurance ... Structured hedges, which are often hybrids between a dynamic hedge and full reinsurance. CONTINUED ON PAGE ...- Authors: Frank Zhang
- Date: Feb 2010
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Annuities>Pricing - Annuities; Annuities>Variable annuities
-
Summary Of Presentation Delivered At The SOA 2009 Annual Meeting “Hedging For Life Insurers—What’s Next For Variable Annuities?”
present value of its future cash flows. Successful dynamic hedging of VA market risks relies upon the ability ... of time. Such movements can be problematic for dynamic hedging programs both mathematically and operationally ...- Authors: David Maloof
- Date: Feb 2010
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risks & Rewards
- Topics: Annuities>Variable annuities; Modeling & Statistical Methods>Dynamic simulation models
-
VA GMxB And Delta Hedging In October ’08 And Beyond
with the product pricing of the guarantees. • Dynamic internal hedging. The firm dynamically manages ... leave material residual market risks behind. The dynamic internal hedging approach is the most commonly ...- Authors: Craig Turnbull
- Date: Feb 2009
- Competency: External Forces & Industry Knowledge>External forces and business performance
- Publication Name: Risks & Rewards
- Topics: Annuities>Variable annuities