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Longevity Greeks: What Insurers and Capital Market Investors Should Know About?
Risk: Approximations to Survivor Functions and Dynamic Hedging. Insurance: Mathematics and Economics, ... Dahl, M., Glar, S., and Møller, T. (2011). Mixed Dynamic and Static Risk-Minimization With an Appli- cation ...- Authors: Kenneth Zhou, Siu-Hang Li
- Date: Jul 2017
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Demography>Longevity; Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Risk management
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Development of a Simulation-based Model to Quantify the Degree of a Bank’s Liquidity Risk
Development ... important to measure dynamic liquidity gaps. Liquidity gaps that are dynamic add the projected new ... accuracy of this model, it’s important to measure dynamic liquidity gaps.” 26 In conclusion ...- Authors: Sadi Bin Asad Farooqui
- Date: Mar 2011
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Global Perspectives; Modeling & Statistical Methods>Stochastic models; Public Policy
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Multivariate Dependence Modeling Using Pair-Copulas
Multivariate Dependence Modeling Using Pair-Copulas In the copula literature there are many bivariate ... for example, in enterprise risk manage- ment or dynamic financial analysis. 3 1. Introduction Actuaries ...- Authors: Doris Y Schirmacher, Ernesto Schirmacher
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Actuarial Profession>Professional development; Enterprise Risk Management>Financial management; Modeling & Statistical Methods>Stochastic models
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Stochastic Trend Models in Casualty and Life Insurance
essential to an understand- ing of risk in a dynamic environment. Filtering the DY trend also provides ... every DY trend. We describe the model as having “dynamic trends,” meaning continuously chang- ing. We have ...- Authors: Spencer M Gluck, Gary G Venter
- Date: Apr 2009
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving
- Topics: Life Insurance; Modeling & Statistical Methods>Stochastic models
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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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Credibility Using Copulas
over time. Hence, the copula accounts for the dynamic aspect of claims behavior. Let c(.) be the probability ... information in the distribution of claims, the dynamic dependencies and the associated explanatory variables ...- Authors: Edward Frees, PING WANG
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models
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Modeling Capital Market with Financial Signal Processing
Market Uncertainty and Volatility – Formatting Dynamic Strategies into Strategic Curves: Adaptive Futures ... 1). static regression Si = Γ(Ri-L+1, …, Ri) dynamic auto-regression Ri+1 = ri + µ(Ri-L+1, …, Ri) + ...- Authors: Jenher Jeng
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Economics>Financial markets; Modeling & Statistical Methods>Stochastic models
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Bayesian Reserving Models Inspired by Chain Ladder Methods and Implemented Using WinBUGS
Bayesian Reserving Models Inspired by Chain Ladder Methods and Implemented Using WinBUGS This ... responding to U (i.e., lossratio[ k, 3 ]) is dynamic and changes values as the simulation pro- gresses ...- Authors: David Scollnik
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models
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Stochastic Control Theory for Optimal Investment
strategies (see [1], [3] and [4]), and simultaneous dynamic control of proportional reinsurance and investment ... [6] Hipp, C. and Vogt, M. (2003) Optimal dynamic XL-reinsurance. Preprint. Download available ...- Authors: MARITINA TOLEDO CASTILLO, Gilbert Parrocha
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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A Stochastic Investment Model for Actuarial Use
predetermined proportions. This is the least "dynamic" strategy that one might adopt. The next step ... experience of each simulation, can be described as a "dynamic investment strategy". As can be seen from the ...- Authors: A D Wilkie
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models
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Stochastic Optimization Techniques for Pricing Callable Bonds: Continuous Time Approach
Stochastic Optimization Techniques for Pricing Callable Bonds: Continuous Time Approach This ... P, = rain P b s ,S This fact explains why Dynamic Programming is the main tool in dealing with callable ...- Authors: Mark Saksonov
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models