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Stochastic Pricing for Embedded Options in Life Insurance and Annuity Products
enough? 3. Liability Assumptions – What dynamic lapse, dynamic utilization and other assumptions are ... The lapse assumption used in the example has a dynamic component that reflects the amount the GLWB is ...- Authors: Society of Actuaries, Timothy Hill, Dale Visser, Ricardo Trachtman
- Date: Oct 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
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Better Pricing in an Uncertain World
risk-driven charges. It has a slightly different dynamic than some of the others. Now that we've seen ... along with that. You have the interest rates. Dynamic lapses reinsurance again is an issue, and there ...- Authors: Timothy Hill, Tim Bennett
- Date: Oct 2004
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Pricing - Annuities; Annuities>Variable annuities; Life Insurance>Pricing - Life Insurance
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Minimum Guaranteed Benefits on Variable Annuities
Minimum Guaranteed Benefits on Variable Annuities 2003 Valuation Actuary Symposium, San Diego, ... in years 10 and forward. It assumes dynamic lapses. A dynamic lapse multiplier times the base rate is ...- Authors: James W Lamson, John M O'Sullivan, Timothy Hill
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Reserves - Annuities; Annuities>Variable annuities; Public Policy
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Variable Annuity Riders: Pricing and Risk Considerations in Today's Market Environment
A new type of GMAB that has come out offers a dynamic asset allocation strategy. What I mean by this ... Capital markets techniques, static versus dynamic hedging—there are a lot of pros and cons to all ...- Authors: Ari Lindner, Timothy Hill, Robert Stone
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Variable annuities; Enterprise Risk Management
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Stochastic Pricing
scenario • survivorship • policyholder behavior (dynamic lapses, GMIB election rates, etc.) Our next ... behavior, but perhaps we may build a case for some dynamic lapse rates depending on the movement of the market ...- Authors: W Steven Prince, Timothy Hill, Chris Stiefeling, Michael Bean
- Date: Jun 2001
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Pricing - Annuities; Modeling & Statistical Methods>Stochastic models