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Optimal Investment Allocation in a Jump Diffusion Risk Model with Investment: A Numerical Analysis of Several Examples
percentage alpha can change the ruin probability is about 17 8 1 20 40 60 0.01 0.05 0.1 0.15 0.2 0 0 ... - Pure Diffusion Model percent at the surplus of 17. For the interest rate of 0.2, the largest maximum ...- Authors: JENG ENG LIN, BLANE A LAUBIS
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Capital markets; Modeling & Statistical Methods>Asset modeling
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Multivariate Modeling of Asset Returns for Investment Guarantees Valuation
Multivariate Modeling of Asset Returns for Investment Guarantees Valuation Presentation at the 41st ... sed: RS2LN w/ 1 corr. matrix and CCORR GARCH 17 of 20 Monte Carlo Monte Carlo experimentexperiment ...- Authors: Christian-Marc Panneton, Mathieu Boudreault
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
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Pricing and Risk Management of Variable Annuities with Multiple Guaranteed Minimum Benefits
Risk Profile of VA with GMDB and GMIB riders (DI) 17 Figure 2: Risk Profile of VA with GMDB, GMIB and ... with Multiple Guaranteed Minimum Benefits -17- Risk Profile of DI, DIA, and DIAW -20% -15% ...- Authors: Feng Sun
- Date: Oct 2006
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Actuarial Practice Forum
- Topics: Annuities>Variable annuities; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Dynamic simulation models
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Random Switching Times Among Randomly Parameterized Regimes of Random Interest Rate Scenarios
Random Switching Times Among Randomly Parameterized Regimes of Random Interest Rate Scenarios The behavior ... Recall that a lognormal random variable with = 0 17 has variance equal to e 2 e 2 1 . Then ...- Authors: James Bridgeman
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models