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  • Optimizing CPPI Investment Strategy for Life Companies
    Optimizing CPPI Investment Strategy for Life Companies Derives appropriate hedge ratios for CPPI ... value at risk;variable annuities;risk metrics;Dynamic simulation models 6442484022 8/1/2018 12:00:00 ...

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    • Authors: Aymeric Kalife, Saad Mouti
    • Date: Aug 2018
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Publication Name: Risks & Rewards
    • Topics: Annuities>Variable annuities; Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
  • Lessons Learned from 25 Years of Equity Guarantees
    2000– 01 recession. Similarly, the emergence of dynamic multi-greek hedging strategies did not protect ... approach to fund management or risk management/dynamic hedging. Per- haps policyholder behavior will become ...

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    • Authors: Ari Lindner
    • Date: Aug 2017
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context; External Forces & Industry Knowledge>External forces and business performance; Strategic Insight and Integration>Strategy development
    • Publication Name: Risks & Rewards
    • Topics: Actuarial Profession>Professional associations
  • The Growing Demand for More Robust Economic Scenario Generators
    The Growing Demand for More Robust Economic Scenario Generators Reviews basic desirable ... contracts, managing derivatives hedging programs and dynamic asset allocation strategies, and calculating capital ...

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    • Authors: Ken Griffin, Hal Warren Pedersen
    • Date: Aug 2016
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving>Problem analysis and definition
    • Publication Name: Risks & Rewards
    • Topics: Finance & Investments>Asset liability management
  • Quantitative Measures of Bond Liquidity
    Quantitative Measures of Bond Liquidity Explains the method used to calculate Liquidity Cost ... & REWARDS | 31 The market PIM (Figure 5) is dynamic. We see large move- ments, in the expected direction ...

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    • Authors: Vadim Konstantinovsky
    • Date: Aug 2016
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Publication Name: Risks & Rewards
    • Topics: Finance & Investments>Investments; Pensions & Retirement>Risk management
  • Modeling Economic Series Coordinated withInterest Rate Scenarios
    Modeling Economic Series Coordinated withInterest Rate Scenarios The SOA’s Committee on ... possibilities. Scenario generation is also critical for Dynamic Financial Analysis (DFA), an area of continued ...

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    • Authors: Steven Siegel
    • Date: Aug 2005
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context
    • Publication Name: Risks & Rewards
    • Topics: Modeling & Statistical Methods>Scenario generation
  • Are Your Scenarios on Target?
    Are Your Scenarios on Target? Are Your Scenarios on Target?From Risks and Rewards Newsletter, ... even more realism is required, i.e., combining dynamic real world policyholder behavior with option valuation ...

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    • Authors: Application Administrator
    • Date: Aug 2005
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context
    • Publication Name: Risks & Rewards
    • Topics: Modeling & Statistical Methods>Stochastic models
  • Fair Valuation of Liabilities: Theoretical Considerations
    provides less relevant information than today’s dynamic capital markets need, and it cannot cope with today’s ... However, leverage is not static. It can be quite dynamic. Leverage can be very large, it can be very small ...

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    • Authors: Luke Girard
    • Date: Feb 2001
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context
    • Publication Name: Risks & Rewards
    • Topics: Financial Reporting & Accounting>Fair value accounting
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