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Stochastic Pricing for Embedded Options in Life Insurance and Annuity Products
enough? 3. Liability Assumptions – What dynamic lapse, dynamic utilization and other assumptions are ... The lapse assumption used in the example has a dynamic component that reflects the amount the GLWB is ...- Authors: Society of Actuaries, Timothy Hill, Dale Visser, Ricardo Trachtman
- Date: Oct 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
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Dynamic Risk Modeling
Dynamic Risk Modeling This article discusses the pending book entitled 'Dynamic Risk Modeling Handbook ...- Authors: James Rech
- Date: Mar 2006
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Finance & Investments; Modeling & Statistical Methods>Dynamic simulation models
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Pricing Perpetual Fund Protection With Withdrawal Option
derived a closed form formula for pricing this dynamic guarantee if early withdrawal from the fund [before ... not permitted. This paper studies the pricing of dynamic protection without a maturity date, i.e., the investor ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Dynamic Financial Models of Life Insurers
Dynamic Financial Models of Life Insurers The Society of Actuaries seeks to provide actuaries of life ... economic factors with insurer-specific data to form dynamic financial models of life insurers. Empirical analysis ...- Authors: James M Carson, Mark J Browne, ROBERT E HOYT
- Date: Feb 2000
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Dynamic Financial Models of Life Insurers XLS Charts
Dynamic Financial Models of Life Insurers XLS Charts By identifying specific exogenous and insurer specific ... study provides a basis for actuaries to build dynamic financial models for individual insurers. The Life ...- Authors: Mark J Browne, ROBERT E HOYT, James Michael Carson
- Date: Feb 2000
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model This paper presents an algorithm ... modeling;Derivatives;Discount rates=Interest rates;Dynamic simulation models;Statistical methods; 8273 1/1/1999 ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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Dynamic Solvency Handbook
Dynamic Solvency Handbook 1994 SOA meeting, Orlando. This session is about the committee's ... committee's dynamic solvency handbook and their progress to date. Topics discussed: 1. Should this ...- Authors: Allan Brender, Shane A Chalke, Frederick W Jackson, Stephen Reddy, James Reiskytl, John D Stiefel
- Date: Apr 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Sensitivity testing
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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model The goal of this paper is to dispel the ... compute these radii fully captures the rel- evant dynamic process. For the simple stock case presented in ...- Authors: James A Tilley
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models