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Product Matters! March 2005, Issue No. 61
key concepts and current and best practices in a dynamic economic environment for variable, fixed and equity-indexed ... pricing and hedging and using product balancing or dynamic hedging for offsetting risk. In the third session ...- Authors: Application Administrator, Abraham Gootzeit, Larry M Gorski, David E Neve, Michael Taht, Craig R Springfield, Feng Sun, Matthew Wininger
- Date: Mar 2005
- Publication Name: Product Matters!
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Ask the Experts
Ask the Experts Three industry actuarial experts respond to pre-submitted and from-audience questions ... if you had a static amortization schedule, a dynamic amortization schedule, or made some adjustments ...- Authors: Jack Gibson, Larry M Gorski, Meredith Ratajczak, Bradley M Smith
- Date: Jan 2005
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Professional Values
- Topics: Actuarial Profession; Financial Reporting & Accounting
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Minimum Guaranteed Benefits on Variable Annuities
done to validate models on both a static and dynamic basis. The model used must fit the purpose. These ... available. Again, it's important to consider dynamic policyholder behavior because there are definitely ...- Authors: J Gaule, Larry M Gorski, James W Lamson, John M O'Sullivan
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Financial Reporting & Accounting>Statutory accounting
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Update on NAIC Activities
Update on NAIC Activities Update on NAIC Activities Annuity reserves;National Association of Insurance ... on the 10-year constant maturity rate would be dynamic, in the sense that the standard scenario would ...- Authors: Larry M Gorski
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge
- Publication Name: Product Matters!
- Topics: Public Policy
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The Financial Reporter
disability did not occur. • The model can incorporate dynamic relation- ships between the risk factors. For example ... 1980 CSO Mortality Table introduced the idea of dynamic maximum valuation and nonforfeiture inter- est ...- Authors: Application Administrator, Jerry Enoch, Larry M Gorski, Jeyaraj Vadiveloo, Laura J Hay, John F Bevacqua, Scott E Wright, Keith Terry
- Date: Mar 2003
- Publication Name: The Financial Reporter
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Reflections of a Regulatory Actuary
Reflections of a Regulatory Actuary Reflections of a Regulatory Actuary by Larry Gorski Annuity ... 1980 CSO Mortality Table introduced the idea of dynamic maximum valuation and nonforfeiture inter- est ...- Authors: Larry M Gorski
- Date: Mar 2003
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Professional Values>Practice expertise; Professional Values>Public interest representation
- Publication Name: The Financial Reporter
- Topics: Actuarial Profession; Annuities>Reserves - Annuities; Financial Reporting & Accounting>Statutory accounting; Life Insurance>Reserves - Life Insurance; Public Policy
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Valuation and Capital Requirements for Guaranteed Benefits in Variable Annuities
being hedged in a static or dynamic hedging fashion? If one is using dynamic hedging, what kind of operational ... of similar instruments. So unless you're doing dynamic hedging and you're taking care of the lapse and ...- Authors: Robert A Brown, Thomas Campbell, Larry M Gorski
- Date: Oct 2002
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Guaranteed living benefits
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Risk-Based Capital Update
have to change assumptions and make them more dynamic. They may have well worked for reserve purposes ... Philadelphia, so stay tuned. That is an evolving dynamic issue and one that may move us forward toward a ...- Authors: Larry M Gorski, Alastair G Longley-Cook, James Reiskytl
- Date: May 2002
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Capital management - ERM; Public Policy
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Interest Scenarios
It does not actually attempt to emulate the dynamic of interest-rate term structure. An arbitrage-free ... the Heath & Jarrow & Morton Model describes the dynamic of the forward rate. All three models are classical ...- Authors: Application Administrator, John M Bragg, Larry M Gorski, John B Gould, Regina Lefkowitz, Sarah Christiansen, Jeffrey S Roth, John D Marcsik, Vladimir S Ladyzhets
- Date: Oct 2000
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Public Policy
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The Financial Reporter
Nace .......................................18 Dynamic Capital Adequacy Testing: Lessons from the Canadian ... topics represented in this newsletter deal with dynamic capital adequacy testing (DCAT) and the effect ...- Authors: Richard H Browne, Stanton L Cole, Larry M Gorski, Mike Lombardi, Thomas Nace, Kevin E Palmer, Shirley Hwei-Chung Shao, Barry L Shemin, S Michael McLaughlin
- Date: Sep 2000
- Publication Name: The Financial Reporter
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The Financial Reporter
reporting purposes. Canadian reporting rules rely on dynamic analysis. What are we Financial Reporting Section ... capital assessment on developing additional dynamic financial analysis tools and methodologies. In ...- Authors: Anson Glacy, Larry M Gorski, Norman E Hill, James W Lamson, Donald Maves, Bruce Moore, Thomas Nace, David Sandberg, Shirley Hwei-Chung Shao, S Michael McLaughlin
- Date: Jun 2000
- Publication Name: The Financial Reporter
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The Financial Reporter
The Financial Reporter Full version of The Financial Reporter, Number 41, February 2000. 25553 2/1/2000 ... THE FINANCIAL REPORTERPAGE 20 FEBRUARY 2000 dynamic, Greek-based (derivatives of value with respect ...- Authors: Robert A Brown, Anson Glacy, Larry M Gorski, R Thomas Herget, G Mitchell, Thomas Nace, Edward Robbins, Raymond Ted Schlude, Darryl Wagner, Michelle Chong Tai-Bell, Patricia Matson
- Date: Feb 2000
- Publication Name: The Financial Reporter
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The Risk-Based Capital C-3 Interest Rate Project
rather than require that people do some sort of dynamic modeling of all those things, we developed a very ... consider what these scenarios look like, what dynamic assumptions are in the model, and whether they ...- Authors: Robert A Brown, Larry M Gorski
- Date: Oct 1999
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Capital management - Finance & Investments
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Guaranteed Separate Account Products - NAIC Reserving Proposals
account. The liability is valued with the same dynamic valuation rates, and so on. Everything is just ... the goals are the same. If we move to this new dynamic C-3 testing that we were talking about at a workshop ...- Authors: Robert A Brown, Michael A Cioffi, Larry M Gorski
- Date: Oct 1999
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Financial Reporting & Accounting>Statutory accounting; Public Policy
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Cash-Flow Testing Issues for Equity-Indexed and Variable Products
by no means an easy thing to replicate. Your dynamic hedging strategy should at least delta match the ... as we described earlier. You want to consider dynamic strategies, although they are more difficult ...- Authors: Application Administrator, Alan Downey, Larry M Gorski
- Date: May 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities; Financial Reporting & Accounting
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Actuarial Guideline ZZZ and Option Pricing
it should be identical to, given a particular dynamic strategy of buying stock at the margin. It's just ... handle that. I want to quickly discuss dynamic hedging. In dynamic hedging, if you have a Black-Scholes ...- Authors: Vincent Gallagher, Larry M Gorski, Joseph H Tan, Thomas Ho
- Date: Oct 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Variable annuities; Financial Reporting & Accounting
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Proposed Changes to the Statutory Risk-Based Capital Requirements
Proposed Changes to the Statutory Risk-Based Capital Requirements Panelists provide an overview of ... Risk-Based Capital Task Force. We have a very dynamic panel to talk about risk-based capital (RBC) ...- Authors: Robert A Brown, Joseph Dunn, Larry M Gorski, Cande Olsen
- Date: Oct 1998
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Financial Reporting & Accounting>Statutory accounting
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Regulatory Topics
1997 issues, which was 5.5%. I looked at the dynamic valuation law, which was 4.5%. I called the actuary ... the valuation date, then perhaps they need to do dynamic solvency testing. If they say that the rates ...- Authors: Larry M Gorski, Mark Greene, Kerry Krantz
- Date: Sep 1998
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Statutory accounting
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Weird Science: Dissection of Derivatives
Weird Science: Dissection of Derivatives Panelists at this session of the SOA 1998 Maui I Spring ... want to use your entire portfolio and create a dynamic hedging scheme to hedge the derivatives that ...- Authors: Larry M Gorski, Stephen Reddy, Charlene Marie Barnes, Christopher T Anderson
- Date: Jun 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Rethinking The Valuation Process
Rethinking The Valuation Process Panelists at this session of the SOA 1998 Maui I Spring ... that we're going to be talking about in terms of dynamic financial condition analysis (DFCA), that's intentional ...- Authors: Larry M Gorski, James Reiskytl, Robert E Wilcox
- Date: Jun 1998
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Financial Reporting & Accounting
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Nonforfeiture Law Developments
valuation law must be in place before we can move to a dynamic nonforfeiture law, and I am convinced that to do ... an interest-sensitive product. Companies in a dynamic world, for very valid reasons, change their thinking ...- Authors: Frank P Dino, Thomas C Foley, Larry M Gorski, Craig R Raymond, Walter Rugland, Sheldon Summers, Robert E Wilcox, Darin Zimmerman
- Date: Oct 1996
- Competency: External Forces & Industry Knowledge>External forces and business performance
- Publication Name: Record of the Society of Actuaries
- Topics: Life Insurance>Non-forfeiture benefits; Public Policy
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Ask The Experts
However, if the expected changes are fairly dynamic and volatile, it may not deal adequately with changing ... In any event, I think you might look to more dynamic methodologies if this product and these issues ...- Authors: Larry M Gorski, Donna Claire, Richard S Miller, Robert Stein
- Date: Jan 1994
- Competency: External Forces & Industry Knowledge
- Topics: Actuarial Profession>Best practices; Public Policy