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Interest Rate Model Risk
Chart 1 shows a typical single premium.deferred annuity (SPDA) block and supporting asset portfolio, and ... years, and I work with some big annuity writers. In 1993, my annuity writers didn't have much problem ...- Authors: David N Becker, Michael E Mateja, Douglas A George, Peter Fitton
- Date: Jan 1996
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Value-At-Risk, Risk-Based Surplus, and C-3 Risk-Based Capital
Value-At-Risk, Risk-Based Surplus, and C-3 Risk-Based Capital 1998 Valuation ... assets;Market value of liabilities;Monte Carlo simulation;Mortality assumption;Risk-based capital=RBC;Stochastic models; ...- Authors: Michael J Hambro, Alastair G Longley-Cook, David Sandberg, Douglas A George
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Public Policy
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Specific Asset Modeling Issues and Applications Beyond Cash-Flow Testing
Specific Asset Modeling Issues and Applications Beyond Cash-Flow Testing This session ... collapse of the real estate market in the early 1990's and the problems it created in cash flow testing and ...- Authors: Jeremy Brown, Catherine Ehrlich, Douglas A George
- Date: Jan 1994
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods
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Technology and the Actuarial Pricing Model - What Comes Next?
is much higher than the single premium deferred annuity (SPDA) liability in the case where interest rates ... the annuity business, you have great entrepreneurial opportunities to seek out all other annuity holders ...- Authors: Shane A Chalke, Thomas W Reese, Irwin T Vanderhoof, Douglas A George, Mark C Abbott
- Date: May 1996
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Pricing - Annuities; Life Insurance>Pricing - Life Insurance; Modeling & Statistical Methods; Technology & Applications>Software