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Disaster Strikes: How Natural Catastrophes Affect Investment Choices
Disaster Strikes: How Natural Catastrophes Affect Investment Choices The Society of Actuaries’ ... Society of Actuaries Research Institute proposes a dynamic copula-EVT (extreme value theory) model to analyze ...- Authors: Society of Actuaries
- Date: Apr 2023
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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The Impact of Disaster Events on Investments – Contagion Channels Perspective
al., 2021), this research proposes to use the dynamic copula-EVT (extreme value theory) model that incorporates ... dependence including non-linearity, asymmetry, and dynamic pattern. We also use both the lower tail dependence ...- Authors: Society of Actuaries
- Date: Oct 2022
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Deep Learning for Liability-Driven Investment
Deep Learning for Liability-Driven Investment The Society of Actuaries’ Committee on Finance ... and reinforcement learning techniques to optimal dynamic strategic asset allocation for Liability Driven ...- Authors: Kailan Shang
- Date: Jun 2021
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Deep Learning for Liability-Driven Investment
and reinforcement learning techniques to optimal dynamic strategic asset allocation for Liability Driven ... and reinforcement learning techniques to optimal dynamic strategic asset allocation for Liability Driven ...- Authors: Kailan Shang
- Date: Jun 2021
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Managing Investment Risks of Insurance Contractual Designs
one party to another. An example would be the dynamic hedging of variable annuity contracts with a guaranteed ... its reinsurer. Here we consider the effect of dynamic hedging. The following numerical example is based ...- Authors: Runhuan Feng
- Date: May 2021
- Topics: Experience Studies & Data; Finance & Investments; Finance & Investments>Investments
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Macroeconomics-Based Economic Scenario Generation
Macroeconomics-Based Economic Scenario Generation ... This paper introduces actuaries and others to dynamic stochastic general equilibrium (DSGE) models, a ...- Authors: Kailan Shang
- Date: Apr 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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A Tale of Two Pension Plans: Measuring Pension Plan Risk from an Economic Capital Perspective
pension plans; and Devolder and Lebegue (2017) used dynamic risk measures. Some literature has compared the ... of the techniques they have discussed include dynamic asset allocation (Liang and Ma 2015) and automatic ...- Authors: Stephen Bonnar, Lori Curtis, Jaideep Oberoi, Aniketh Pittea, Pradip Tapadar
- Date: Nov 2019
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments; Finance & Investments>Asset allocation; Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments; Pensions & Retirement; Pensions & Retirement>Defined benefit plans; Pensions & Retirement>Plan design; Pensions & Retirement>Risk management; Finance & Investments>Economic Scenario Generators
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A Low-Growth World: Implications for the Insurance Industry and Pension Plans
approach to policy analysis and design. It applies to dynamic problems arising in complex social, managerial ... economic, or ecological systems—literally any dynamic systems characterized by interdependence, mutual ...- Authors: Max Rudolph, Mark E Alberts
- Date: Jun 2019
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments; Finance & Investments>Asset liability management; Finance & Investments>Risk measurement - Finance & Investments
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Liability-Driven Investment
inflation and unemployment rate. Examples include the dynamic stochastic general equilibrium (DSGE) models ... Determination of plan contributions is key to the dynamic projection of plan assets and liabilities. Insurance ...- Authors: Kailan Shang
- Date: Apr 2019
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments; Pensions & Retirement
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Actuarial Utility and Preference Functions
in actuarial science is in the development of dynamic lapse rates. If a company’s competitors are offering ... policies with the higher crediting rate. This dynamic lapse rate being dependent on what the policyholders ...- Date: Apr 2019
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Yield Curve Extrapolation Methods
Yield Curve Extrapolation Methods This research report summarizes methodologies used for yield ... hedgeability; however, they are working toward a dynamic programming approach to hedge design. This will ...- Authors: Jack T Kerbeshian, Patricia Matson
- Date: Feb 2019
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management; Finance & Investments
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An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial crisis of the late-2000s
An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial ... left-tail analysis was presented as well as a dynamic hedging approach. From Actuarial Research ...- Authors: Mathieu Boudreault, Maciej Augustyniak
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Variable annuities; Finance & Investments
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U.S. Insurance Company Investment Strategies in an Economic Downturn
U.S. Insurance Company Investment Strategies in an Economic Downturn The recent financial crisis ... testing (actuarial opinion and memorandum) and dynamic financial analysis are not publicly available ...- Authors: Max Rudolph
- Date: Dec 2011
- Competency: External Forces & Industry Knowledge
- Topics: Economics; Finance & Investments
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Estimation of Stochastic Volatility Models by Simulated Maximum Likelihood Method
Estimation of Stochastic Volatility Models by Simulated Maximum Likelihood Method The ... Gaissian importance sampler with application to dynamic latent variable models”, Journal of Applied Econometrics ...- Authors: EUNJI CHOI
- Date: Jan 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Risk Position Reporting
reports are broad in nature. n Reports will be more dynamic, in response to changing market conditions. n Report ... levels of new business n More frequent to reflect dynamic nature of product issuance Participants were asked ...- Authors: Mary M Wilson, Mary Gilkison, Anthony Dardis, Francois R Morin, Stephen Britt
- Date: Oct 2001
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Financial Reporting & Accounting
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Modeling of Economic Series Coordinated with Interest Rate Scenarios
several reasons. For example, a key aspect of the dynamic financial analysis (DFA) process, which continues ... Theory of Risk Committee on Finance Research Dynamic Financial Analysis Cte. Research Project: ...- Authors: Kevin Ahlgrim, Stephen P D'Arcy, Richard Gorvett
- Date: May 2001
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Dynamic Solvency Testing: Boundaries of Risk Definition Phase
Dynamic Solvency Testing: Boundaries of Risk Definition Phase This report identifies the risks that ...- Authors: Donna Claire
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments; Financial Reporting & Accounting
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Chaotic Analysis on U.S. Treasury Interest Rates
take in the vector space as t changes. If the dynamic system that generates X(t) converges, the orbit ... point. If the dynamic system is periodic, the orbit will form a closed path. If the dynamic system diverges ...- Authors: Steven Craighead
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics; Finance & Investments; Modeling & Statistical Methods
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Solvency Risk
initiative is the concept of dynamic solvency testing [3], [4]. Dynamic solvency testing, or DST, provides ... Committee on Solvency Standards, "A Primer on Dynamic Solvency Testing", August 1, 1989. Canadian Institute ...- Authors: Henry Essert
- Date: Jan 1993
- Competency: Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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Actuarial Issue In Prepaid Tuition Contracts
Actuarial Issue In Prepaid Tuition Contracts This paper discusses contracts sold by states ... focuses the user's attention on the perceived dynamic elements underlying the economic process in question ...- Authors: Robert Crompton
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics; Finance & Investments
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Option Bounds in Discrete Time with Transaction Costs
replicating a long position in the option by a dynamic hedging strategy. Proportional transaction 368 ... cost of creating a long European call option by dynamic hedging when there are transaction costs. This ...- Authors: Phelim Boyle, Ton Vorst
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Design and Pricing of Home Equity Line of Credit Insurance
Design and Pricing of Home Equity Line of Credit Insurance This paper presents the application ... approach provides data for "detailed" analysis, a dynamic approach can serve to estimate the overall profitabil ...- Authors: Marina Adelsky
- Date: Jun 1990
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Life Insurance>Pricing - Life Insurance
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Measuring the Interest Rate Risk
asset values do; net worth is determined by the dynamic interplay of these changes. For instance, surplus ... sitive cash flows, duration matching amounts to a dynamic trading strategy for synthetic option replication ...- Authors: Paul Milgrom
- Date: Oct 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments
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Options on Bonds and Applications to Product Pricing
Options on Bonds and Applications to Product Pricing This paper presents a theoretical ... assumption, usually chosen to be static rather than dynamic, and almost never chosen to optimize risk control ...- Authors: Robert P Clancy
- Date: Oct 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments
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Interest Rate Futures: An Alternative to Traditional Immunization in the Financial Management of Guaranteed Investment Contracts
Interest Rate Futures: An Alternative to Traditional Immunization in the Financial Management of ... assumptions made in traditional immunization. Dynamic interest rates could be incorporated to verify ...- Authors: Allan M Fen
- Date: Oct 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments
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Segmentation of Insurance Company General Accounts
Segmentation of Insurance Company General Accounts This paper describes a major refinement ... major lines of business. Optimal response to the dynamic economic and financial markets in which we operate ...- Authors: James A Attwood, Carl R Ohman
- Date: Oct 1983
- Competency: External Forces & Industry Knowledge
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments
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An Expanded Financial Structure for Ordinary Dividends
ordinary lines. 7. The structure should have a dynamic capability of showing how changes in the future ... minimum valuation reserve bases incorporating dynamic interest rates on guaranteed interest contracts ...- Authors: Donald D Cody
- Date: Oct 1981
- Competency: Results-Oriented Solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments
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Insurance Company Growth
Insurance Company Growth This paper defines a concept of equivalence for profit standards. The ... are its limited resources but also what are the dynamic relationships among its key re- sources. Most ...- Authors: Dale Hagstrom
- Date: Jan 1981
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Economics; Finance & Investments
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Valuing a Life Insurance Company
Valuing a Life Insurance Company Presentation of some of the factors to be considered, and approaches ... office manager, the seasoned underwriter, the dynamic agency director, welded into a team, are distinct ...- Authors: Melvin L Gold, Robert C Tookey
- Date: Apr 1962
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments; Finance & Investments>Economic value; Financial Reporting & Accounting>Statutory accounting