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Deep Learning for Liability-Driven Investment
optimization of a dynamic asset allocation strategy is difficult to achieve with dynamic programming, whose ... construct a framework for learning the optimal dynamic strategic asset allocation plan for LDI, one can ...- Authors: Kailan Shang
- Date: Feb 2022
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Finance & Investments; Predictive Analytics
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Risks & Rewards, September 2020, Issue 78
Risks & Rewards, September 2020, Issue 78 Read the September 2020 issue of Risks & Rewards ... (“The Investment Return from a Portfolio with a Dynamic Rebalancing Policy,” British Actuarial Journal ...- Authors: Society of Actuaries
- Date: Sep 2020
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments
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Chasing Down the Rebalancing Premium
Chasing Down the Rebalancing Premium This article speculates on the presence and magnitude of ... (“The Investment Return from a Portfolio with a Dynamic Rebalancing Policy,” British Actuarial Journal ...- Authors: Anson Glacy
- Date: Sep 2020
- Competency: Results-Oriented Solutions; Strategic Insight and Integration
- Publication Name: Risks & Rewards
- Topics: Finance & Investments; Finance & Investments>Asset allocation
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Risks & Rewards, February 2020, Issue 75
Risks & Rewards, February 2020, Issue 75 Read the February 2020 issue of Risks & Rewards ... until after the commodity price has risen. This dynamic not only leads to cycles in the various min- ing ...- Authors: Society of Actuaries
- Date: Feb 2020
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments
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A Golden Opportunity for Investment Portfolios
A Golden Opportunity for Investment Portfolios A feature article discussing the financial opportunities ... until after the commodity price has risen. This dynamic not only leads to cycles in the various min- ing ...- Authors: Steven Scoles
- Date: Feb 2020
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments
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Some Key Insights for Computing Credit Solvency Capital Requirements
Some Key Insights for Computing Credit Solvency Capital Requirements Feature article describing ... that, the question arises as to which is the best dynamic rep- resentation of bond portfolios and risk premium ...- Authors: Olivier Arnaud Le Courtois FSA,CERA (Olivier), Mohamed Majri, Jeremy Allali
- Date: Sep 2019
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments
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Risks & Rewards, August 2019, Issue 74
Risks & Rewards, August 2019, Issue 74 Read the August 2019 issue of Risks & Rewards ... that, the question arises as to which is the best dynamic rep- resentation of bond portfolios and risk premium ...- Authors: Society of Actuaries
- Date: Sep 2019
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments
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Managing Investment and Liquidity Risks Within Nonfundamental Market Sell-off and Volatility Feedback Loops: A Market Impact Perspective
the course of several days [0,T] by means of a dynamic order execution strategy that ought to adapt to ... function can be approximated as: We then set up the dynamic programming problem where we parameterize as before ...- Authors: Aymeric Kalife
- Date: Mar 2019
- Publication Name: Risks & Rewards
- Topics: Finance & Investments; Life Insurance
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Highlights on SOA Report “Reinvestment Strategies for Life Insurance Products in a Changing Economic Environment”
a changing economic environment. We propose a dynamic approach where year by year the reinvestment strategy ... reinvestment strategy. In particular, we design a dynamic strategy where, at the beginning of each year ...- Date: Mar 2019
- Publication Name: Risks & Rewards
- Topics: Finance & Investments
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Quarterly Focus - Customizing LDI
(% ) AUGUST 2008 RISK AND REWARDS | 15 Dynamic risk budgeting: As a sponsor’s funding ratio, ... funding ratio targets reap the most reward from a dynamic approach to managing the overall risk budget.- Authors: Aaron Meder
- Date: Aug 2008
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Finance & Investments; Pensions & Retirement>Funding
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Implementing Asset/Liability Management—A User’s Guide to ALM, LDI and Other Three-Letter Words
non-correlated, returns, and the possible use of dynamic strategies to react to changing market conditions ... outcome of the plan’s asset/liability study. dynamic Ldi All of the analysis in the example above ...- Authors: Anton Wouters
- Date: Feb 2008
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments; Pensions & Retirement>Pension investments & asset liability management
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Advanced Risk Management Seminar - New York, December 2002
Reinsurance, (3) Securitization of M&E fees, (4) Dynamic Hedging and (5) Static Hedging. He talked through ... duration to more dynamic approaches such as effective duration, VaR and CTE. These dynamic approaches measure ...- Authors: Catherine Ehrlich, Hubert B Mueller, David Ingram
- Date: Jul 2003
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Enterprise Risk Management; Finance & Investments
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Risk Management and Actuaries—SOA Risk Management Task Force Update
Risk Management and Actuaries—SOA Risk Management Task Force Update Risk Management ... for research. One such idea on the subject of dynamic covari- ance and correlations (covariance and correlations ...- Authors: Valentina A Isakina, David Ingram
- Date: Feb 2003
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Enterprise Risk Management; Finance & Investments
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Windy City Hosts Investment Actuary Symposium
using clear, simple terms to describe results. Dynamic Spread/Private Placement of Default Study Speakers: ... rate. Altschull also discussed the need for UL dynamic analysis to include mortality selection against ...- Authors: Max Rudolph, Peter Tilley
- Date: Feb 2003
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments