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Hedging Variable Annuity Guarantees: A Practical Discussion
Hedging Variable Annuity Guarantees: A Practical Discussion From a session at the Spring meeting of ... panelists discuss the benefits of hedging variable annuity guarantees, the challenges they face and how they ...- Authors: Zafar Rashid, Francis Sabatini, Application Administrator, Daniel D Heyer, Mark Evans
- Date: Jun 2004
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Guaranteed living benefits; Annuities>Variable annuities; Finance & Investments>Risk measurement - Finance & Investments; Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]; Modeling & Statistical Methods>Stochastic models
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Modeling Home Equity Conversion Mortgages
used to estimate the amount of a level-payment annuity payable as long as the person is alive and living ... Society of Actuaries 1991, Vol. 43. Assumptions;Mortality assumption;Mortgages; 2679 10/1/1991 12:00:00 ...- Authors: Thomas Herzog, Tapen Sinha, Theresa R DiVenti, Application Administrator
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models
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A Practical Concept of Tail Correlation
function )(uξ by: 10, )( )]()([)(21 2 <<−=− u uCTV uVaRuCTEuξ where )(uCTE is the conditional ... conditional tail expectation at probability level u; )(uVaR is the value at risk; and )(uCTV is the conditional ...- Authors: Application Administrator
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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A Uniform Asymptotic Estimate for Discounted Aggregate Claims with Sub exponential Tails
distribution F on [0,∞) is subexponential, denoted by F ∈ S. That is to say, F (x) = 1− F (x) > 0 holds for all ... equivalently, for some) y 6= 0. Moreover, the class S covers the class ERV of distributions with extend ...- Authors: Xuemiao Hao, Application Administrator
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models
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Are Your Scenarios on Target?
basis for the scenarios, the assumed distribution(s) for parametric approaches or statisti- cal sampling ... Black-Scholes option implied volatility (Heston and Nandi 2000). If even more realism is required, i.e., combining ...- 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
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Capital and Hedge Modeling for Variable Annuities
Society of Actuaries Note: The chart(s) referred to in the text can be found at http://handouts ... Dutch and Swiss statutory capital initiatives. The U.S. statute, SCL2, is just beginning and AUSTI Guideline ...- Authors: Hubert B Mueller, Application Administrator, Ulrich Stengele
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital; Modeling & Statistical Methods>Stochastic models
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Long-Term Forecasting for Interest Rates
the top table gives the stationary periods based on the Kuiper criterion, and the bottom table gives ... January 2, 1998. Table 2.1 below presents the results of the comparison tests. In this table, the first ...- Authors: Application Administrator, Vladimir S Ladyzhets, Vladimir Cherepanov
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Stochastic models
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Discussion of Pricing and Risk Management of Variable Annuities with Multiple Guaranteed Minimum Benefits,
will reduce this correlation significantly. Table 12 shows that the CTE90 for “DI” slightly exceeds ... have been vibrant and exciting areas of variable annuity (VA) pricing and risk/capital management, especially ...- Authors: Mark Evans, Application Administrator
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Practice Forum
- Topics: Annuities>Variable annuities; Economics>Financial economics; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models