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Gimmel: Second Order Effect of Dynamic Policyholder Behavior on Insurance Products with Embedded Options
Dynamic b ' OTM ITM Sx OTM Sx ITM Sx Primary Example 5% 0% to 10% 15% 5% 0.9 0.85 0.95 Example ... Dynamic b ' OTM ITM Sx OTM Sx ITM Sx Primary Example 5% 0% to 10% 15% 5% 0.9 0.85 0.95 Example ...- Authors: David Ross, Charles L Gilbert, John Wiesner
- Date: Mar 2010
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Annuities>Variable annuities; Enterprise Risk Management
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Risk Management Issues for Variable and Equity-Indexed Annuities
given the lapse/mortality typically stays with the direct writer. In using this strategy, you would have ... who is doing the hedging. I've seen examples of direct companies where dynamic hedging can be more expensive ...- Authors: Charles L Gilbert, Darin Zimmerman, Kannoo Ravindran
- Date: Oct 2002
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Equity-indexed annuities; Annuities>Variable annuities
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Understanding And Managing The Risks Underlying Guaranteed Benefits In Variable Annuities
will be zero, so we will be immunized. We won’t care from a claims risk perspective if the account value ... However from a pure claims risk perspective, you don’t care where the markets go if you immunize yourself.- Authors: Inger Harrington, Charles L Gilbert, David L Braun
- Date: Oct 2001
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Variable annuities; Enterprise Risk Management