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Hedging Variable Annuity Guarantees: A Practical Discussion
Hedging Variable Annuity Guarantees: A Practical Discussion From a session at the Spring meeting of the Society of Actuaries held in San Antonio, Texas, June 14-15, 2004 The panelists discuss ...- Authors: Zafar Rashid, Francis Sabatini, Application Administrator, Daniel D Heyer, Mark Evans
- Date: Jun 2004
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Guaranteed living benefits; Annuities>Variable annuities; Finance & Investments>Risk measurement - Finance & Investments; Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]; Modeling & Statistical Methods>Stochastic models
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Optimizing CPPI Investment Strategy for Life Companies
Optimizing CPPI Investment Strategy for Life Companies Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk). value at ...- Authors: Aymeric Kalife, Saad Mouti
- Date: Aug 2018
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risks & Rewards
- Topics: Annuities>Variable annuities; Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments