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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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Factors Affecting Retirement Mortality
Factors Affecting Retirement Mortality This paper is the final report in a project ... Paxson (1999) noted that the effects of income are dynamic, and although permanent income is negatively correlated ...- Authors: Robert Brown, Joanne McDaid
- Date: Jan 2003
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Demography>Mortality - Demography; Demography>Gender factors; Global Perspectives
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Interaction Between Asset Liability Management and Risk Theory: An Unsegmented and a Multidimensional Study
8.1 The basic model In this section, the dynamic evolution of the (m+n)-dimensional stochastic process ... Session, Firenze, 253-269. 22 Janssen J., 1995, "A dynamic stochastic ALM model for insurance companies", ...- Authors: Jacques Janssen, Griselda Deelstra
- Date: Jan 2002
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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An Econometric Forecasting for the Social Security Trust Funds
An Econometric Forecasting for the Social Security Trust Funds The financing for Social Security ... notably by Sims (1980) as a way to estimate the dynamic relationships among jointly endogenous variables ...- Authors: H Shawn Lin
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Forecasting
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Portfolio Optimization in Corporate Models
toolbox. One of our next steps will be to employ a dynamic asset strategy through- out the projection period ... some of these methods to determine the optimal dynamic asset strategy to support a line of business.- Authors: William L Babcock, Steven Craighead
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit Ratios, and Cash Flow Simulation
Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit ... whereas the cash flow simulation model implements dynamic financial analysis. Logistic regression analysis ...- Authors: J David Cummins, Richard D Phillips, Martin F Grace
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
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Technologies Used in Modeling
Technologies Used in Modeling In December 1997, the Society of Actuaries held a conference whose ... have in their knowledge base. The program can be dynamic, in the sense that the criteria for prediction ...- Authors: Arnold Shapiro, Thomas Anthony DeFilippo, AVRIL KATHERINE PHINNEY, Jing Zhang
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Investigation of Unfunded Liability in a Simplified Pension Fund Model
Investigation of Unfunded Liability in a Simplified Pension Fund Model This paper develops ... Clearing House 1998 Vol. 2. Deterministic models;Dynamic simulation models;Stochastic models;Interest rate ...- Authors: P.W.A. Dayananda
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Funding
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Four Approaches to the Political Economy of Regulation
Four Approaches to the Political Economy of Regulation One of the most important influences ... critical. We can expect mistakes to arise in a dynamic market in the absence of perfect knowledge. Sometimes ...- Authors: Philip Booth
- Date: Jan 1998
- Competency: External Forces & Industry Knowledge; Professional Values>Ethical standards
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Competencies; Public Policy
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Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australian Data
Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models ... Muscatelli, V. A. and S. Hum. (1992). Cointegration and Dynamic Time Series Models, Journal of Economic Surveys ...- Authors: Michael Sherris, Ben Zehnwirth, Leanna Tedesco
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Estimating Long-Term Returns in Stochastic Interest Rate Models
Estimating Long-Term Returns in Stochastic Interest Rate Models This paper addresses the evaluation ... of interest rate process. The paper derived a dynamic model for aver- age short rate over time to Illal ...- Authors: Lijia Guo, Zenghui Huang
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Examining Changes in Reserves Using Stochastic Interest Models
Examining Changes in Reserves Using Stochastic Interest Models This paper focuses on the fact that ... determined from discounted case flows mask the dynamic nature of interest rates. To study this effect ...- Authors: Edward Frees, Siu-Wai Lai
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Chaotic Analysis on U.S. Treasury Interest Rates
take in the vector space as t changes. If the dynamic system that generates X(t) converges, the orbit ... point. If the dynamic system is periodic, the orbit will form a closed path. If the dynamic system diverges ...- Authors: Steven Craighead
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics; Finance & Investments; Modeling & Statistical Methods
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Improving University Actuarial Education
Improving University Actuarial Education In the past, discussion of actuarial education has focused ... pace with the ever-changing requirements of a dynamic environment. Many of the problems encountered ...- Authors: John Shepard, Clare Stella Bellis
- Date: Jan 1994
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Academic partnerships; Actuarial Profession>Qualifications; Global Perspectives
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Pricing Long Term Insurance Contracts
Pricing Long Term Insurance Contracts This is the abstract for the paper entitled 'Pricing Long Term Insurance Contracts.' ... potential theoretic approach backward induction and dynamic programming. 225 ...- Authors: Benny Levikson, G Mizrahi
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability; Long-term Care>Long-term care insurance; Modeling & Statistical Methods
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Computing Ruin Probabilities - A Life Table Approach
the form of the constraints of a forward looking dynamic programming problem. This gave us the fle~,ibility ... three steps. 20E; THE MODEL Used the Dynamic P rogramming St ra tegy of wr i t ing down a ...- Authors: Manalur S Sandilya
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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n-Year Roll-Forward Reserve Financing of Social Security
n-Year Roll-Forward Reserve Financing of Social Security This paper explores and develops ... that individual [see 6, 1979]. However, in a dynamic economic environment, such preservation of individual ...- Authors: Cecil J Nesbitt, Brett T Houghton, ANDREW EVAN COHEN, DAVID MITCHEL GALLERS, PAUL SAMUEL WEISS, Angela Myler
- Date: Jan 1994
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Funding; Social Insurance>Social Security
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Pension Funding in a Dynamic Environment
Pension Funding in a Dynamic Environment Concomitant with the industrial revolution, the function of ... Defined benefit plans=DB plans;Demographics;Dynamic simulation models;Funding policy;Intergenerational ...- Authors: James C Hickman
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Private sector plans; Social Insurance>Social Security
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Letters to the National Association of Insurance Commissioners Life/Health Actuarial Task Force Regarding the Development of the New Annuity Non-Forfeiture Law
risk management is cr i t ical in the current dynamic and volati le interest rate environment. The attached ... actuarial exams. In the 1970 and early 1980's, a dynamic interest environment develop=.. widely available ...- Authors: Roger K Wiard-Bauer
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities
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Contingent Claims Valuation of 'Greater of' Benefits
path-dependent problems but does not capture any optimal dynamic aspects of the valuation. .rc.o~m_~L~mm~ This ... withdraw or retire could be assumed to be based on a dynamic optimisation dec~'on. Stw.h behaviour cotdd be ...- Authors: Michael Sherris
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Hybrid plans
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Review of Social Security Financing and Related Matters
Review of Social Security Financing and Related Matters This paper is a report on research for ... 101-103 [7] J. C. Hickman, "Pension Funding in a Dynamic Environment" [8] Mercer 1992 Guide to Social ...- Authors: Cecil J Nesbitt, FELICITY RENEE MESSNER, AARON JON ROBERTSON
- Date: Jan 1993
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Social Insurance>Social Security
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Solvency Risk
initiative is the concept of dynamic solvency testing [3], [4]. Dynamic solvency testing, or DST, provides ... Committee on Solvency Standards, "A Primer on Dynamic Solvency Testing", August 1, 1989. Canadian Institute ...- Authors: Henry Essert
- Date: Jan 1993
- Competency: Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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Actuarial Issue In Prepaid Tuition Contracts
Actuarial Issue In Prepaid Tuition Contracts This paper discusses contracts sold by states ... focuses the user's attention on the perceived dynamic elements underlying the economic process in question ...- Authors: Robert Crompton
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics; Finance & Investments
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Entropy - Reducing Properties of Predictive Financial Models
Entropy - Reducing Properties of Predictive Financial Models This paper is about a concept ... predictive financial model. In terms of the dynamic betting game model discussed above, Kelly's conditions ...- Authors: Nicholas John Macleod, Joel D Thomison
- Date: Jan 1993
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Economics>Financial markets; Technology & Applications>Analytics and informatics
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Conveying Actuarial Concepts
in that it shows the concept in a precise and dynamic way. Blackboard drawings are static and often ... environment can transform conventional lectures into a dynamic interaction between instructor and students whereby ...- Authors: Arnold Shapiro, Schenley Hajek Hall, William J Gibbs
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession; Technology & Applications
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Hierarchical Bayesian Whittaker Graduation
Hierarchical Bayesian Whittaker Graduation In this paper the ad-hoc Bayesian derivation of ... Series," in Baitestan Analysts of Txrne Ser~es and Dynamic Models. J. Small, ed.. New York: Marcel Dekker ...- Authors: Stuart Klugman
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Bayesian methods
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Analyzing Nonlinear and Non-Gaussian Actuarial Time Series
become a powerful tool for modeling and forecasting dynamic sys- tems. These models, in conjunction with ... HARRISON, P.J- (1989). Bayesian Forecaszng and Dynamic Models. New York: Springer-Verlag. {27] WEST ...- Authors: Bradley P Carlin
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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The Distribution of Prescription Drug Use By The Elderly - The Pace Experience
based on their initial enrollment dates, s The dynamic effects of exposure to PACE benefit coverage on ... second alternative is that the trend reflects some dynamic pattern in drug use behavior leading those with ...- Authors: Arnold Shapiro, JOHN THOMAS MONYAK, Bruce C Stuart, N Edward Coulson
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability; Modeling & Statistical Methods
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Option Bounds in Discrete Time with Transaction Costs
replicating a long position in the option by a dynamic hedging strategy. Proportional transaction 368 ... cost of creating a long European call option by dynamic hedging when there are transaction costs. This ...- Authors: Phelim Boyle, Ton Vorst
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Design and Pricing of Home Equity Line of Credit Insurance
Design and Pricing of Home Equity Line of Credit Insurance This paper presents the application ... approach provides data for "detailed" analysis, a dynamic approach can serve to estimate the overall profitabil ...- Authors: Marina Adelsky
- Date: Jun 1990
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Life Insurance>Pricing - Life Insurance
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Some Simple Models of the Investment Risk in Individual Life Insurance
Some Simple Models of the Investment Risk in Individual Life Insurance This paper develops a theory ... only state variable 2. CI&R use a different dynamic assumption d, = t>{ I e-r ') ~t -t- <t'VI J.- Authors: Application Administrator
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance; Modeling & Statistical Methods
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Interest Rate Volatility and Equilibrium Models of the Term Structure: Empirical Evidence
take advantage of the availabi l ity of the dynamic specif ication of the single forcing variable ... essential of the moment matching idea. It exploits the dynamic specif ication of the CIR model in testing the ...- Authors: Marc A Godin
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling
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Personal Reflections on Actuarial Science in North America from 1900
how they are applied, with recognition of the dynamic nature of these fundamental concepts in that they ... 130 on linear programming, project scheduling, dynamic programming, re- lates to topics that came to ...- Authors: Cecil J Nesbitt
- Date: Jan 1990
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession
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Assumptions in Pension Plan Valuations
Assumptions in Pension Plan Valuations The two basic considerations in a pension plan valuation are ... Prospective consistency can be an extremely dynamic consideration. This is particularly true for ...- Authors: Arnold Shapiro
- Date: Jan 1985
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Defined benefit plans
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Population Waves and Fertility Fluctuations: Social Security Implications
recast . Human fe r t i l i ty responds in a dynamic i f complex manner to changes in the env i ronment ... 15, pp. 397-432. Prauenthal, J.C. (1975), "A Dynamic Model for Human Population Growth," Theoretical ...- Authors: Phelim Boyle, Ruth Freedman
- Date: Jan 1984
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House; Transactions of the SOA
- Topics: Demography
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A Financial Model For Retirement Income Planning
A Financial Model For Retirement Income Planning The subject of this paper is a financial ... financially secure retirement income. The model is dynamic and stochastic, operates in nominal and real terms ...- Authors: Christoph Haehling von Lanzenauer
- Date: Jan 1981
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Pensions & Retirement
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Notes on the Dynamics of Pension Funding
principles applicable to pension funding under dynamic conditions of population growth, inflation, and ... Research Clearing House 1981, Vol. 1. Assumptions;Dynamic simulation models;Inflation;Variable annuities; ...- Authors: Newton L Bowers, James C Hickman, Cecil J Nesbitt
- Date: Jan 1981
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Assumptions and methods; Pensions & Retirement>Funding
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Bond Immunization Strategies
BENEFIT CASH a. STATIC GROUP I WHOLE LIFE b. DYNAMIC GROUP I LIMITED YEARS The first American author ... the luture. The second example focuses on a dynamic group of pensioners, in other words, a ~roup ...- Authors: William A Dreher
- Date: Jan 1981
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Pension investments & asset liability management