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Assessing Regime Switching Equity Return Models
Models The purpose of this paper is to help practitioners and regulators more accurately quantify the potential ... potential impact of market risk on insurance products with equity-linked guarantees. To this end, this ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Finance & Investments; Modeling & Statistical Methods
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Regime-Switching Portfolio Replication
management challenge is hedging these guarantees, given the equity regime switching process. This presentation ... is used, which allows for the examination of the robustness of each of the optimization methods when ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Finance & Investments>Asset liability management; Modeling & Statistical Methods
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Ruin Probability for a Short-Term Disability Model
disability model is developed, where the loss process is comprised of two processes: new claims process ... transitional probabilities are needed to model the transitions of this non-Markovian process. An approximating ...- Authors: R Keith Freeland
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability>Disability insurance; Modeling & Statistical Methods