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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
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Investment Fallacies e-book
something about it; risk management should be dynamic, not passive. Once we agree that market change ... suggests, reality is better represented by a highly dynamic, but persistent, multi-state model in which the ...- Authors: Society of Actuaries, Nicholas John Macleod
- Date: Sep 2014
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; External Forces & Industry Knowledge>External forces and business performance
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
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Investment Fallacies e-book
1969 paper “Lifetime Portfolio Selection by Dynamic Stochastic Programming.” It was, in fact, a ... seeking a 3% real return, adopts a strategy of dynamic adjustment for his saving plan. After 10 years ...- Authors: Rowland Davis, Society of Actuaries
- Date: Sep 2014
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; External Forces & Industry Knowledge>External forces and business performance
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
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Approximating the Effects of Parameter Uncertainty on Value at Risk Estimates
business lines. References Richard Ernest Bellman. Dynamic Programming. 1957, Princeton University Press. ... bis.org. R. Carvalho, H. Mignon, and M. Paez. Dynamic bayesian models as an 18 alternative to the ...- Authors: Jacques Rioux, Steven Major, Donald Erdman
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments