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Financial Economics vs. Traditional Actuarial Methods/ Back to Basics: Risk Neutral vs. Real World
account value is lower. You may be modeling dynamic policyholder behavior that's going to have a greater ... because the ending-fund value depends upon the dynamic behavior of the policyholder and upon the random ...- Authors: Graham D Ireland, Tamara Burden, Julia Lynn Wirch-Viinikka
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Economics>Financial economics; Finance & Investments>Risk measurement - Finance & Investments
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Hedging Variable Annuity Guarantees: A Practical Discussion
issues you have to deal with. Are you going to do dynamic hedging or static hedging? The breadth of hedge ... probably not the right answer. Nor is a completely dynamic hedging strategy that is only hedging the immediate ...- Authors: Zafar Rashid, Francis Sabatini, Application Administrator, Daniel D Heyer, Mark Evans
- Date: Jun 2004
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Guaranteed living benefits; Annuities>Variable annuities; Finance & Investments>Risk measurement - Finance & Investments; Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]; Modeling & Statistical Methods>Stochastic models
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How to Make Guarantees on VAs Worth More than the Paper They're Written On
the most part, as one would expect. Turning off dynamic lapses had a significant reduction in the capital ... requirements a bit. Of course, when turning off dynamic annuitization drastically, the results were about ...- Authors: Ari Lindner, Jason Kehrberg
- Date: Jun 2004
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Financial Market Volatility: Modeling and Management
Financial Market Volatility: Modeling and Management From a session at the Spring meeting of the ... risk;Derivatives;Discount rates=Interest rates;Dynamic simulation models;Generally Accepted Accounting ...- Authors: Francis Sabatini, Application Administrator, Aleksandar Kocic
- Date: Jun 2004
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods
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Capital Requirements for Investment Risks - Regulatory, Rating Agency and Economic Approaches
risk will be. There will be more stochastic and dynamic modeling. I think the regulatory implementation ... your competitor rate definition? What's your dynamic lapse formula assumption? Again, from an M&A perspective ...- Authors: Michael J O'Connor, Jeff Gimbel, Christian Shiemke, Jose Siberon, Nathan Hardiman
- Date: Jun 2004
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Risk measurement - Finance & Investments; Financial Reporting & Accounting>Statutory accounting
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Risk Management Tools
securitization risk management tools. He recently ran the dynamic hedging program for a large U.S. insurer with ... practice, what would happen if you were running a dynamic hedging program and typically, insurance companies ...- Authors: W Steven Prince, Charles L Gilbert, Kannoo Ravindran
- Date: Jun 2001
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
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Interest Scenarios
It does not actually attempt to emulate the dynamic of interest-rate term structure. An arbitrage-free ... the Heath & Jarrow & Morton Model describes the dynamic of the forward rate. All three models are classical ...- Authors: Application Administrator, John M Bragg, Larry M Gorski, John B Gould, Regina Lefkowitz, Sarah Christiansen, Jeffrey S Roth, John D Marcsik, Vladimir S Ladyzhets
- Date: Oct 2000
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Public Policy
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Unified Valuation System Update
viability report. In the past, it might be called a Dynamic Financial Condition Analysis (DFCA) analysis. ... would have to do if they were going to implement a dynamic financial analysis (DFA)-type approach to financial ...- Authors: David C Jesionowski, David Sandberg, Donna C Novak, Sam H Dillard
- Date: Jun 2000
- Competency: Results-Oriented Solutions>Actionable recommendations; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Financial Reporting & Accounting; Financial Reporting & Accounting>Fair value accounting; Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]; Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Dynamic simulation models; Public Policy
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Balancing Risks
percentile is 18.1. Some have minimum guarantees and dynamic lapses that are not linear in relationship to changes ... entire organization. Risk management must be dynamic and encompass all the risks. In accounting terms ...- Authors: Nancy Bennett, Francis Sabatini, Peter Tilley
- Date: May 1999
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Risk measurement - Finance & Investments
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Risky Business: Covering Your Assets
Using key rate durations, which actually is a dynamic hedge tool, is not going to give you a permanent ... distribution approach scenario analysis. That includes dynamic financial analysis and evaluating risk analysis ...- Authors: Cindy L Forbes, Francis Sabatini, Anthony Dardis, Mark C Abbott
- Date: Jun 1998
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management; Finance & Investments>Risk measurement - Finance & Investments
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Investment Quality Measures Review
Investment Quality Measures Review Panelists discuss: [1] investment quality as a ... Panelists discuss: [1] investment quality as a dynamic investment consideration, [2] the impact of securitization ...- Authors: Robert P Clancy, Peter B Deakins, Edward I Altman
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Risk measurement - Finance & Investments
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Investment Strategy for Life Insurance Products
cash flow scenario projections is to model the dynamic relation- ships between asset and liability cash ... Missouri). Our investment process is an extremely dynamic one. The amount of money under management at Capital ...- Authors: Joseph J Buff, Sheldon Epstein, Mark Griffin, Eric S Werner
- Date: May 1988
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
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Research of the Committee on Valuation and Related Areas
Research of the Committee on Valuation and Related Areas Committee members discuss the objectives ... comfortable with. But as I mentioned before, it's a dynamic and evolutionary situation. I'm not saying that ...- Authors: Joseph J Buff, Peter B Deakins, Michael E Mateja, Daniel J McCarthy, Robert Stein, Irwin T Vanderhoof
- Date: Oct 1987
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Risk measurement - Finance & Investments
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Practical Solutions To Managing The Interest Rate Risk
12½ percent. The investment management should be dynamic so that if interest rates rose we could invest ... simplified. The actual investment strategy is dynamic. Market conditions and quality relation- ships ...- Authors: Michel Levesque, Klaus Shigley, Donald A Stewart, Joel S Feingold, Daniel Morin
- Date: Jun 1985
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Risk measurement - Finance & Investments
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Society Research Affecting The Valuation Actuary
Society Research Affecting The Valuation Actuary This session from the 1983 SOA Hollywood, Florida ... Law. The NAIC Technical Advisory Committee on Dynamic Interest and Related Matters (now the Standing ...- Authors: Donald D Cody, Solomon Goldfinger, Michael E Mateja, Daniel J McCarthy, Irwin T Vanderhoof
- Date: Oct 1983
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Risk measurement - Finance & Investments
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Effective Use of Capital
Effective Use of Capital Panel discussion focused on the Effective Use of Capital. Topics included: ... that are within the marketing field, which is the dynamic area where so many things are going on, and we ...- Authors: Richard Kischuk, John C Maynard, Owen A. Reed, Harry S Saunders
- Date: May 1981
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Reinsurance>Financial reinsurance
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Effective Use of Capital
Effective Use of Capital Panel discussion focused on the Effective Use of Capital. Topics included: ... a portion of each risk that you write in this dynamic marketplace. Most reinsurance companies realize ...- Authors: Michael E Mateja, Robert Shapiro, William H. Sahm
- Date: Apr 1981
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Reinsurance; Reinsurance>Financial reinsurance