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Managing Investment Risks of Insurance Contractual Designs
one party to another. An example would be the dynamic hedging of variable annuity contracts with a guaranteed ... its reinsurer. Here we consider the effect of dynamic hedging. The following numerical example is based ...- Authors: Runhuan Feng
- Date: May 2021
- Topics: Experience Studies & Data; Finance & Investments; Finance & Investments>Investments
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3B: Insurance Company Investment Risk Management – What Remains to be Addressed
o 2% rider charge o 3% M&E o Fixed expenses o Dynamic hedging with 85% effectiveness 8 Life Insurance ... earnings • Discussion Topics: • Basis Risk in Dynamic Hedging • Managed Risk Funds • Product Diversification ...- Authors: Tully Sun Cheng, Poojan Jitendra Shah, Liang Zhang, Robert McGinley
- Date: Nov 2019
- Competency: External Forces & Industry Knowledge; External Forces & Industry Knowledge>External forces and business performance
- Topics: Economics; Economics>Financial economics; Finance & Investments; Finance & Investments>Investments; Finance & Investments>Portfolio management - Finance & Investments
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4A: Maintaining A Pension Plan Long-Term: Hedging the Risks
Capital efficient LDI • Focus on return & alpha • Dynamic management Increase hedge assets • Further increase ... coarse matching at longer maturities May not be dynamic enough to hedge the Aa spread component May not ...- Authors: Alexander Pekker, Christian Robert
- Date: Nov 2019
- Competency: External Forces & Industry Knowledge; External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics; Economics>Financial economics; Finance & Investments; Finance & Investments>Investments
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Insights on Fintech, 401(k) plans and the 2018 Pension Research Council Symposium
Insights on Fintech, 401(k) plans and the 2018 Pension Research Council Symposium Discussion ... enrollment, auto- deferral escalation, and automatic dynamic portfolio management (e.g., target- date funds) ...- Authors: Stacy Schaus
- Date: Oct 2018
- Competency: Leadership>Thought leadership
- Publication Name: Retirement Section News
- Topics: Finance & Investments>Investments; Pensions & Retirement>Defined contribution and 401k plans
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Risks & Rewards, August 2018, Issue 72
lim- iting the downside risk by implementing a dynamic allocation strategy between high- risk and risk- ... realistic pricing jump model and examine several dynamic strategies and put options to mitigate the risk ...- Authors: Society of Actuaries
- Date: Aug 2018
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Investments
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Optimal Investment Strategies and Intergenerational Risk Sha
Optimal Investment Strategies and Intergenerational Risk Sha This presentation considers a ... optimization problem Fund dynamics The pension fund dynamic can be described as{ dX (t) = pi(t)dS1(t)S1(t) ...- Authors: Barbara Sanders, Suxin Wang, Yi Lu
- Date: Apr 2018
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments>Investments; Pensions & Retirement>Risk management
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Concurrent Session 3A:The Market Impact of Dynamic Hedging on Hedging Program Performance
Concurrent Session 3A:The Market Impact of Dynamic Hedging on Hedging Program Performance Insurance ...- Authors: Larry Zhao, Oksana Cherniavsky, Aymeric Kalife
- Date: Feb 2018
- Competency: External Forces & Industry Knowledge>External forces and business performance; Professional Values>Ethical standards; Strategic Insight and Integration>Big picture view; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Asset allocation; Finance & Investments>Derivatives; Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Modeling General Account Assets: An Introduction
Modeling General Account Assets: An Introduction A brief overview of modeling bonds and mortgages ... vali- date modeled prepay behavior, especially dynamic behavior, this would be a good assumption to stress ...- Authors: Phillip Schechter
- Date: Dec 2016
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: The Modeling Platform
- Topics: Finance & Investments>Investments
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Quantitative Measures of Bond Liquidity
Quantitative Measures of Bond Liquidity Explains the method used to calculate Liquidity Cost ... & REWARDS | 31 The market PIM (Figure 5) is dynamic. We see large move- ments, in the expected direction ...- Authors: Vadim Konstantinovsky
- Date: Aug 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Investments; Pensions & Retirement>Risk management
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The Impact of Deep Learning on Investments
The Impact of Deep Learning on Investments Up until recent past, the artificial intelligence ... surgeon’s precision and expertise in forming such a dynamic semantic engine. Deep learning allows us not ...- Authors: Syed Danish Ali
- Date: Jul 2016
- Competency: External Forces & Industry Knowledge>External forces and business performance; Strategic Insight and Integration>Big picture view; Strategic Insight and Integration>Strategy development
- Publication Name: Predictive Analytics and Futurism Newsletter
- Topics: Finance & Investments>Investments; Technology & Applications>Analytics and informatics
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The Far East: Stepping Up
The Far East: Stepping Up This article delves into the challenges and opportunities of the ... complex rules around valuation interest rates and dynamic solvency testing. In China, a new solvency frame- ...- Authors: Frederick Yiu Fai Ngan, Eric Alan Forgy, Michael Kwan Yu Chan
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: The Actuary Magazine
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investments
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Correspondent’s Report from the SOA 2015 Annual Meeting and Exhibit
Correspondent’s Report from the SOA 2015 Annual Meeting and Exhibit Summary of Investment Council ... tend to persist and showed that this suggested a dynamic approach to volatility management. Using market ...- Authors: Warren A Manners
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge>Internal forces and business performance; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Investment policy; Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments
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Global Variable Annuity Relected in New Zealand Product Design
Global Variable Annuity Relected in New Zealand Product Design New Zealand is about to launch its ... a phased introduction of solvency credits for dynamic hedging. As there was no local experience, we ...- Authors: Murray Alan Hilder, Ralph Stewart
- Date: Jan 2016
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: International News
- Topics: Annuities>Capital - Annuities; Annuities>Guaranteed living benefits; Annuities>Individual annuities; Annuities>Investment strategy - Annuities; Annuities>Marketing and distribution - Annuities; Annuities>Policyholder behavior - Annuities; Annuities>Pricing - Annuities; Annuities>Reserves - Annuities; Annuities>Product development - Annuities; Annuities>Variable annuities; Finance & Investments>Asset allocation; Finance & Investments>Asset liability management; Finance & Investments>Derivatives; Finance & Investments>Investment policy; Finance & Investments>Investments
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An Introduction to Private Equity and Infrastructure Investing
An Introduction to Private Equity and Infrastructure Investing Provides an overview of special ... Frank Grossman 12 On The Importance Of Hedging Dynamic Lapses In Variable Annuities By Maciej Augustyniak ...- Authors: David Rogers, John W. Gray
- Date: Aug 2015
- Competency: Professional Values>Practice expertise; Strategic Insight and Integration>Big picture view; Strategic Insight and Integration>Strategy development
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Investments
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Investment Fallacies e-book
something about it; risk management should be dynamic, not passive. Once we agree that market change ... suggests, reality is better represented by a highly dynamic, but persistent, multi-state model in which the ...- Authors: Society of Actuaries, Nicholas John Macleod
- Date: Sep 2014
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; External Forces & Industry Knowledge>External forces and business performance
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
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Investment Fallacies e-book
1969 paper “Lifetime Portfolio Selection by Dynamic Stochastic Programming.” It was, in fact, a ... seeking a 3% real return, adopts a strategy of dynamic adjustment for his saving plan. After 10 years ...- Authors: Rowland Davis, Society of Actuaries
- Date: Sep 2014
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>Actuarial theory in business context; External Forces & Industry Knowledge>External forces and business performance
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
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Value Investing and Enterprise Risk Management: Two Sides of the Same Coin
was moved forward by casualty actuaries taking Dynamic Financial Analysis to the next level, along with ... ambiguous. It recognizes the interplay between dynamic external influences and human behavior. This last ...- Authors: Max Rudolph
- Date: Feb 2013
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Value Investing and Enterprise Risk Management: Two Sides of the Same Coin
was moved forward by casualty actuaries taking Dynamic Financial Analysis to the next level, along with ... ambiguous. It recognizes the interplay between dynamic external influences and human behavior. This last ...- Authors: Max Rudolph
- Date: Feb 2013
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Back Testing of Investment Performance by Asset Class
1974-2010). In this model, the only variable that is dynamic is the asset allocation. For this model, we use ... and Nyhart Page 19 Discussion of results from dynamic allocation: Another issue a pension manager faces ...- Authors: Maneesh K Sharma, Thomas Totten, John F Cierzniak
- Date: Jan 2013
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Asset liability management; Finance & Investments>Investments
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Enterprise Risk Management:One size does not fit all
needs of a growing company, particularly in a dynamic financial and regulatory environment. By analyzing ... needs of a growing company, particularly in a dynamic financial and regulatory environment.- Authors: Mark W Whitford
- Date: Jan 2013
- Competency: Strategic Insight and Integration>Big picture view; Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Health Watch
- Topics: Annuities>Investment strategy - Annuities; Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Asset allocation; Finance & Investments>Asset liability management; Finance & Investments>Investments
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Review Of Uncertain Times: A Chief Investment Officer’s Journey, By Alton R. Cogert
Review Of Uncertain Times: A Chief Investment Officer’s Journey, By Alton R. Cogert This is ... Risk Management, Asset/Liability Management, or Dynamic Financial Analysis. While ALM and DFA are excel- ...- Authors: Max Rudolph
- Date: Aug 2010
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Investments
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Communication by Actuaries and Investment Professionals: Breaking through the Firewalls
use of it. One potential improvement is in the dynamic cash flow analysis. To my knowledge, you can only ... It wasn't a dynamic process that was put in place. You would like to see it be a dynamic process, because ...- Authors: Frederick W Jackson, Max Rudolph, Raghu Ramachandran
- Date: Oct 2002
- Competency: Communication
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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The FHLB Advance Window: A Compelling Opportunity?
The FHLB Advance Window: A Compelling Opportunity? Presented at May 2002 Spring Meeting. This ... This legislation effectively changed the economic dynamic of FHLB membership for insurance companies. The ...- Authors: Anson Glacy, Thomas Grondin, UNKNOWN H D Barkett
- Date: May 2002
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Banking - Finance & Investments; Finance & Investments>Investments
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Phase 2 of the C-3 Project Update
Phase 2 of the C-3 Project Update Presented at May 2002 Spring Meeting. Discusses the status of the ... is this larger risk picture. They also have dynamic capital adequacy testing. You look at your new ...- Authors: Alastair G Longley-Cook, David Sandberg, Daniel Patterson
- Date: May 2002
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Variable annuities; Enterprise Risk Management>Capital management - ERM; Finance & Investments>Investments; Global Perspectives; Life Insurance
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A Stochastic Investment Model for Actuarial Use
predetermined proportions. This is the least "dynamic" strategy that one might adopt. The next step ... experience of each simulation, can be described as a "dynamic investment strategy". As can be seen from the ...- Authors: A D Wilkie
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models
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Innovative Investment Vehicles
Innovative Investment Vehicles This presentation is from session number 36, presented at the ... unstable duration by engaging in some sort of dynamic or delta hedging. The problem of the latter group ...- Authors: Ronald S Oldenkamp, Vadim Konstantinovsky
- Date: Sep 1999
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments>Investments
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Investment Manager Searches for Insurance Companies
Investment Manager Searches for Insurance Companies From a session at the Spring regional ... management;Capital markets=Stock market;Cash flow testing;Dynamic simulation models;Investment policy;Investment ...- Authors: Frederick W Jackson, Victor Modugno, Ronald S Oldenkamp, Michael J Christ
- Date: May 1999
- Competency: External Forces & Industry Knowledge>External forces and business performance; Relationship Management
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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Securities and Exchange Commission/Mutual Fund Side of Variable Products
Securities and Exchange Commission/Mutual Fund Side of Variable Products This session from ... serving a number of different clients. It's not a dynamic process. It can be very attractive, though, for ...- Authors: Mary Ann Brown, Stephen E Roth, David J Pearlman, Barbara J Walter
- Date: Oct 1995
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments; Pensions & Retirement>Funding
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Arithmetic of Option Pricing
Arithmetic of Option Pricing This teaching session will examine option-pricing techniques, binomial ... replication. It turns out that we need to do a dynamic replication so that we work our way through this ...- Authors: Joseph Koltisko, Craig Merrill
- Date: Apr 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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LIFE INSURANCE COMPANY INVESTMENTS
LIFE INSURANCE COMPANY INVESTMENTS This guide lists literature sources that an actuary can use to ... Oxford University Pres, 1990. 30. Duffie, D. Dynamic Asset Pricing Theory. Princeton 32. Ingersoll ...- Authors: Society of Actuaries
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investments
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Option Pricing by Esscher Transforms
Computation 32 (1978): 277-79. 32. DUFFLE, D. Dynamic Asset Pricing Theory. Princeton: Princeton University ... LusKir~, D.L. ED. Por(folio Insurance: A Guide to Dynamic Hedging. New York: Wiley, 1988. 56. MADAN, D ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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Nonparallel Yield Curve Shifts and Convexity
price to A(0)? (4) All arguments ignore the time dynamic: What is the relationship be- tween Ai and At ... classical models, "[a]ll arguments ignore the time dynamic." This is one of his reasons for introducing a ...- 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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Practical Asset/Liability Modeling for CMOs
specific types of CMO tranches, analyzing them under dynamic scenarios, and looking at some of the more difficult ... a look at the differences between static and dynamic modeling. I'll begin with a set of case studies ...- Authors: Randall Boushek, David A Hall
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investments
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CMO and Other Asset Projections
scenarios. In response to these problems, the dynamic prepayment model was developed. Actually, there ... thing as a generic CMO, and in my view any true dynamic model must somehow access a database containing ...- Authors: Randall Boushek, David A Hall
- Date: Sep 1990
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments>Investments
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Integrating the Actuarial/Investment Function
Integrating the Actuarial/Investment Function The optimal degree of integration and/or ... all of this is that you have a loop that is both dynamic and interac- tive and whose parts are interdependent ...- Authors: Selig Ehrlich, D Ted Steven, Joseph Rao, Donald A King, Juan M Ocampo
- Date: Jun 1988
- Competency: Strategic Insight and Integration
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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New Investments and New Investment Strategies
stock market, known as portfolio insurance or dynamic hedging. While hard evidence is hard to come by ... it is reasonably clear that the execution of dynamic hedging strategies, which are designed to protect ...- Authors: Robert P Clancy, Kenneth Eiger, Alan W Sibigtroth, Gary E Wendlandt, John A Richards, Jess Yawitz
- Date: May 1987
- Competency: External Forces & Industry Knowledge>External forces and business performance
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments; Finance & Investments>Portfolio management - Finance & Investments
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State Investment Regulation
State Investment Regulation Presented at June 1986 Spring Meeting. This session discusses current ... the market, changing that balance. It is called dynamic hedging. It is part of the program trading that ...- Authors: Frank W Bennett, Stephen Maluk, William S Tager, Irwin T Vanderhoof, Melvin B. Dunn
- Date: Jun 1986
- Competency: External Forces & Industry Knowledge>External forces and business performance
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments; Public Policy
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Segmented Portfolios And Stripped Investments Accounting
investahle universe of securities. Interest rate swaps, dynamic hedging, future and options and the making of securities ... system is not flexible enough to handle certain dynamic transactions. Unfortunately, this is where the ...- Authors: Joseph E Crowne, Robert Ozenbaugh, Neal C Schneider, Richard L Sega
- Date: May 1985
- Competency: External Forces & Industry Knowledge>External forces and business performance; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments; Financial Reporting & Accounting
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New Developments In Fixed Income Investments
called Dynamic Hedging or Dynamic Asset Allocation. I am going to talk a little bit about dynamic hedging's ... current market environment. What is dynamic hedging or dynamic asset allocation? Most simply, it's a ...- Authors: Yuan Chang, Joseph P Macaulay, Martin Ruby, Peter A Sieviec, Ralph S Tate
- Date: May 1984
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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Monitoring Investment Performance Of A Life Insurance Company
Monitoring Investment Performance Of A Life Insurance Company This session from the 1984 SOA ... for managing the portfolio_ Since you have a dynamic liabil- ity, you always have an option of increasing ...- Authors: Catherine B Husman, Kent L Meyers, R Stephen Radcliffe, Robert H Stapleford, Stanley B Tulin
- Date: May 1984
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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Disintermediation, Investment Strategy And Product Design
Disintermediation, Investment Strategy And Product Design This presentation from the 1983 SOA ... system with monthly timeframes which provide dynamic and static gap analyses - Availableon IBM, Hewlett ...- Authors: Ronald K Darling, Roger F Harbin, John D Hogan, D Alan Little, Edward P Mohoric, Luc Girard
- Date: May 1983
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investments
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Asset Management for an Insurance Company
Asset Management for an Insurance Company This discussion is on asset management for an insurance ... reduced and the entire process will be much more dynamic than in the past. There are, of course, other ...- Authors: Steven Eisenberg, Raymond J Nacin, Stanley B Tulin
- Date: Oct 1981
- Competency: Leadership>Thought leadership; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Investment strategy - Annuities; Finance & Investments>Asset allocation; Finance & Investments>Investment policy; Finance & Investments>Investments; Life Insurance>Investment strategy - Life Insurance
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Pension Investments
Pension Investments This panel discussion session focuses on pension investments including ... cash flow projections, actuarial modeling, or dynamic projections. I will talk about the practical aspects ...- Authors: Richard M Ennis, Gary A Pines, Gregg L Skalinder, William B Solomon
- Date: Oct 1979
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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Investment Policy In A Changing Economy
Investment Policy In A Changing Economy This panel discussion presented at the April 1976 ... balance sheet. It is also necessary to take a dynamic view of the future and to recognize that work forces ...- Authors: Donald D Cody, William A Dreher, Irwin T Vanderhoof, Allan B. Roby
- Date: Apr 1976
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investment policy; Finance & Investments>Investments
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Playing The Market
Playing The Market Reviews book entitled An Introduction to Risk and Return from Common Stocks ... Administration at Bergen read a paper on the “Dynamic Aspects of Decisions Under Uncertainty.” Professor ...- Authors: Charles L. Trowbridge
- Date: Jan 1970
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Finance & Investments>Investments