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From Liquidity Crisis to Correlation Crisis, and the Need for ‘Quanls’ in ERM
processes with non-stationary increments and dynamic corre- lation models, with the goal to understand ... as suddenly as it appeared, and miss- ing this dynamic would lead to bad hedging strategies. Identifying ...- Authors: Stephane Loisel
- Date: Aug 2012
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Systematic risk; Modeling & Statistical Methods>Dynamic simulation models
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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
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Pricing and Risk Management of Variable Annuities with Multiple Guaranteed Minimum Benefits
Total 73,129,000 1000 Policyholder Behaviors Dynamic policyholder behavior assumption such as lapse ... movements. A more sophisticated (and more costly) dynamic hedging program will seek to mitigate volatility ...- Authors: Feng Sun
- Date: Oct 2006
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Actuarial Practice Forum
- Topics: Annuities>Variable annuities; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Dynamic simulation models