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A Tale of Two Risk Management Strategies: Risk Measure Based
A Tale of Two Risk Management Strategies: Risk Measure Based This abstract describes ... strategies are mathematically formulated. Variable annuity;risk management;net liabilities;insurance 6442482021 ...- Authors: Bingji Yi, Runhuan Feng
- Date: Apr 2018
- Competency: External Forces & Industry Knowledge
- Topics: Annuities>Guaranteed living benefits; Annuities>Variable annuities; Life Insurance
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Generalized Gerber-Shiu Function in Piecewise-deterministic Markov Processes
more generalized Gerber-Shiu G-S function which contains both the G_S expected discounted penalty function ... the same systematic way, such as the insurer's accumulative utility, expected total discounted claim ...- Authors: Runhuan Feng
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Markov Chain
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Stochastic Annuities: An Exploration of Black-Scholes Model From an Actuarial Perspective
financial market. As far as an actuary is concerned, annuity is undoubtedly one of the most commonly seen financial ... arises - how does one determine the price of an annuity under which interest rates are credited in accordance ...- Authors: Runhuan Feng
- Date: Jul 2010
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Have It Both Ways? A Tale of the Speed-Accuracy Trade-Off in the Valuation of Guaranteed Minimum Withdrawal Benefit
Have It Both Ways? A Tale of the Speed-Accuracy Trade-Off in the Valuation of Guaranteed Minimum ... can be seen with the valuation of the variable annuity guaranteed minimum withdrawal benefit (GMWB). In ...- Authors: Runhuan Feng, Hans Volkmer
- Date: Feb 2014