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  • Complex Liability Modeling Issues
    Complex Liability Modeling Issues From a session at the 2001 Valuation Actuary Symposium, held ... reporting or other corporate purposes. The primary focus is modeling issues for variable product features ...

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    • Authors: Application Administrator, Thomas J Mitchell, John M O'Sullivan, Joseph M Rafson
    • Date: Nov 2001
    • Competency: Communication; External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Process and technique refinement
    • Topics: Annuities>Pricing - Annuities; Annuities>Reserves - Annuities; Annuities>Variable annuities; Finance & Investments>Asset liability management; Modeling & Statistical Methods
  • Actuarial Methods for Valuing Illiquid Assets
    the fair value hierarchy. Level 1 inputs are direct (unadjusted) quoted prices from an active market ... market impact costs; delay and search costs; direct transaction costs. The cost of illiquidity constitutes ...

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    • Authors: Application Administrator
    • Date: Dec 2011
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context
    • Topics: Finance & Investments>Asset liability management; Finance & Investments>Economic value
  • An Investment Actuary's Approach to ALM
    defined in terms of the spot rates themselves, a direct solution which fo l lows the Whitaker- Henderson ... factors. It would certainly be more satisfying if a direct solution could be achieved which applied the smoothness ...

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    • Authors: Application Administrator
    • Date: Jan 1995
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
    • Publication Name: Actuarial Research Clearing House
    • Topics: Finance & Investments>Asset liability management; Finance & Investments>Risk measurement - Finance & Investments
  • Interest Scenarios
    Interest Scenarios From a session at the annual meeting of the Society of Actuaries held in ... rate; dz is a Wiener process. I would like to direct your attention to the fact that all the coefficients ...

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    • Authors: Application Administrator, John M Bragg, Larry M Gorski, John B Gould, Regina Lefkowitz, Sarah Christiansen, Jeffrey S Roth, John D Marcsik, Vladimir S Ladyzhets
    • Date: Oct 2000
    • Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
    • Publication Name: Record of the Society of Actuaries
    • Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Public Policy
  • A Risk Management Tool for Long Liabilities: The Static Control Model
    A Risk Management Tool for Long Liabilities: The Static Control Model This paper looks at the problem ... In developed economies products such as long-term care insurance in the United States, or Term to 100 ...

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    • Authors: Application Administrator
    • Date: Apr 2009
    • Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
    • Topics: Finance & Investments>Asset liability management