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Asset-Liability Integration, Chapter 6: ALM of Social Insurance
also the largest insurance system in the world. In 2000, it provided benefits amounting to $415.1 billion ... resulting positive cash flow is borrowed by the U.S. Treasury through special issue bonds paying current ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Asset liability management; Social Insurance>Social Security
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Asset-Liability Integration, Chapter 3: Why Did ALM Become Important?
closely re- lated to the C-3 risk. The Golden Age of U.S. insurers, the 1950s and 1960s, was characterized ... and Polkinghorn 1992). In 1982, total annuity reserves of U.S. life companies exceeded life insurance ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Integration, Chapter 7: Valuation of Derivative Securities
Asset-Liability Integration, Chapter 7: Valuation of Derivative Securities Generally, the assets ... markets. However, the firm's liabilities become customer's' private placement assets and ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Integration: Introduction
Asset-Lit (SOA) S N Asset-Liability Integration Introduction The purpose of this work is to analyze ... idea directly related to that presented by Doherty (2000) for corporate risk. Panjer (1998) also presents ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Integration, Chapter 4: Trading in Human Capital
disability, is short an annuity to the insured, retains a call on that annuity should rehabilitation prove ... cryonic suspension services are offered by sev- eral U.S.-based companies). One could venture here to ask ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Integration, Chapter 2: Defining Asset-Liability Management
cash value surrender, single premium deferred annuity tax- free exchange, and guarantees of interest ... enterprise S(i) equals A(i) L(i). If we apply the reasoning presented above to the function S(i), then ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Integration, Chapter 8: Stochastic Management without Tears
Stochastic Management without Tears Management's goal is to continuously optimize the economic value ... with the use of financial valuation of the firm’s balance sheet. Both the assets and liabilities can ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Economic value
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Asset-Liability Integration, Chapter 5: Out of Human Bondage
FIGURE 9 DURATION AS A FUNCTION OF MATURITY FOR AN ANNUITY IMMEDIATE 0 2 4 6 8 10 12 14 1 6 11 16 ... The economic value of the liability is a simple annuity immediate, and its properties are analogous to ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Integration, Chapter 1: What Are Financial Intermediaries Paid For?
market circumstances. Sim- ilarly, if a deferred annuity provides for the credited rate to follow an interest ... solves the fol- lowing optimization problem max E(u(g (X) e ))i i gi(X ) subject to: I. What are ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Finance & Investments>Asset liability management