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Implications of Real World Customer Behavior in RiskNeutral Hedging
Rewards Newsletter August 2006 – Issue No. 48 S ome have suggested using real world assumptions for ... referred to as the real world shadow account. Table 1 below gives an example. Here, we are at the end ...- Authors: Mark Evans
- Date: Aug 2006
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Generally Accepted Accounting Principles [GAAP] for New Generation Products
interest is credited, and charges are deducted for mortality and expenses. Surrender charges may also be applied ... premiums. For example, a flexible premium deferred annuity would come under the accounting rules for Universal ...- Authors: Kevin A Marti, James Milholland, Mark Evans
- Date: May 1987
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Financial Reporting & Accounting>Financial Accounting Standards Board [FASB]
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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