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Market-Consistent Pricing As The Market Sort Of Normalizes: Separating the permanent from the temporary grayness Part 2 of 2
out in Part 1, Product Matters! | JUNE 2011 | 17 CONTINUED ON PAGE 18 18 | JUNE 2011 | Product ... of $375 million. The fair value cost of this now 17-year option has fallen to 48 bps—still more than ...- Authors: Eric Clapprood
- Date: Jun 2011
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Product Matters!
- Topics: Annuities>Investment strategy - Annuities; Annuities>Pricing - Annuities; Life Insurance>Pricing - Life Insurance; Life Insurance>Investment strategy - Life Insurance
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Market-Consistent Pricing as the Market Sort of Normalizes: Separating the permanent from the temporary grayness, Part 1 of 2
Market-Consistent ... 20% 10% 0% 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 Spot Vol Forward Vol 8 ... differences become further pronounced when comparing to IFRS, and, again, when comparing capital requirements ...- Authors: Mitchell Katcher, Eric Clapprood
- Date: Oct 2010
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Product Matters!
- Topics: Annuities>Pricing - Annuities; Finance & Investments>Risk measurement - Finance & Investments; Life Insurance>Pricing - Life Insurance