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Results of the Survey on Variable Annuity Hedging Programs for Life Insurance Companies
Results of the Survey on Variable Annuity Hedging Programs for Life Insurance Companies This paper, ... Projects – Finance/Investment,’ presented by the SOA’s Committee on Finance Research, describes the results ...- Authors: Robert Reitano, Charles L Gilbert, Kannoo Ravindran
- Date: Jan 2007
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Mortality Cost Valuation of Underwriting Requirements
Mortality Cost Valuation of Underwriting Requirements The purpose of this paper is to provide a unified ... is based on the measurement of the levels of mortality costs associated with such requirements. A discussion ...- Authors: Robert Reitano
- Date: Oct 1982
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Underwriting - Life Insurance
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Asset Share Mathematics
mature at the same policy duration and projected mortality and lapse experience is identical except in the ... a cash flow c at moment s within policy year t accumulates to [1 + (1 -- s)i]c at the end of policy ...- Authors: Pierre Chouinard, Mark Evans, Peyton J Huffman, Frank C Metz, Robert Reitano, James A Tilley
- Date: Oct 1978
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Financial Reporting & Accounting
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Multivariate Stochastic Immunization Theory
m- 1, the collection of residuals: {ziij - ~t u N,},j = 1, 2, ... (1.3) is as small as possible ... If P(i)=S(i) denotes the price function of surplus or net worth, where S(i)=A(i)-L(i) and S(io)#0, the ...- Authors: Robert Reitano
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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A Statistical Analysis of Banded Data with Applications
A Statistical Analysis of Banded Data with Applications The goal of this paper is to develop best ... these estimates are given in terms of the mean. Mortality risk;Retention; 2637 10/1/1990 12:00:00 AM ...- Authors: Robert Reitano
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Claims - Life Insurance; Modeling & Statistical Methods
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Multivariate Immunization Theory
Letting r(s, t) denote the rate used to discount cash flows from time t to time s, or the implied (t-s)-period ... at time s, where 0<s<t, we have that: [1 + r(0,t)] -t = [1 + r(0,s)] -s [1 + r(s,t)] -<t-s). Hence ...- Authors: Robert Reitano, Elias Shiu
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Multivariate Duration Analysis
the upper limit of integration with s, say, then substituting s = 1 into the second-order Taylor expansion ... 0 0--N DN(io) = D~(io) - C~io), (4.6) 0 O-~s Dk(io) = Os(io) Dk(io) - Csk(io), (4.7) a O(io) ...- Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Nonparallel Yield Curve Shifts and Convexity
have two continuous derivatives in the variable(s) in which they are expressed and that these price ... ranges were observed, as the percentile data in Table 1 demonstrate. While the distribution of the DN(0) ...- Authors: Robert Reitano
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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A Multivariate Approach to Immunization Theory
immunization properties of that model. In particular, resul~s are developed regarding directional immunization ... context of the immunization of a firm's or portfoli9'S net worth. That is, in pursuit of conditions under ...- Authors: Robert Reitano
- Date: Aug 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods