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So, The Equity Markets Don't Always Go Up? Capital Markets Hedging of Variable Annuities and Equity-Indexed Annuities
So, The Equity Markets Don't Always Go Up? Capital Markets Hedging of Variable Annuities and Equity-Indexed Annuities This session at the SOA 2003 Washington, DC Spring Meeting examines the ...- Authors: Daniel Patterson, Marshall C Greenbaum, Jun Zhuo, D Kent Freeman
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model The goal of this paper is to dispel the prevailing belief that American-style options cannot be valued efficiently in a simulation model by ...- Authors: James A Tilley
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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Developing Optimized Investment Strategies for Life Insurance Companies
Developing Optimized Investment Strategies for Life Insurance Companies This session from the 1995 SOA Boston Meeting examines the use of derivatives to help optimize the inurance company ...- Authors: Michael Peskin, Stephen Reddy, Gregory J Roemelt
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives; Finance & Investments>Portfolio management - Finance & Investments
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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model This paper presents an algorithm for valuing American options in a path simulation model. It demonstrates the accuracy by an example involving ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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Catastrophe Risk Bonds
Catastrophe Risk Bonds This paper examines the pricing of catastrophe risk bonds. Catastrophe risk cannot be hedged by traditional securities. Therefore the pricing of catastrophe risk bonds ...- Authors: Samuel Cox, Hal Warren Pedersen
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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What Are Derivatives? How to Make Money with Them and Why Governments Care
What Are Derivatives? How to Make Money with Them and Why Governments Care 1994 SOA Spring Meeting, Orlando. In this session the speaker provided an overview of derivatives including: 1.- Authors: R Stephen Radcliffe, Charles R Taylor
- Date: Apr 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Hedging Variable Annuity Guarantees With Long-Dated Equity Derivatives
Hedging Variable Annuity Guarantees With Long-Dated Equity Derivatives Competition for space in distribution channels has resulted in a proliferation of exotic options embedded in variable ...- Authors: Michelle Smith, Roma Jakiwczyk, Edward Wilson, Mark Evans
- Date: Nov 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Annuities>Variable annuities; Finance & Investments>Derivatives
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Credit Derivatives
Credit Derivatives In this session from the 2005 SOA New Orleans Meeting, panelists discuss the ever-growing range of credit-derivative instruments that are becoming available including credit ...- Authors: Jason Steigman, Michael R Vasseghi
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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A Cautionary Note on Pricing Longevity Index Swaps
A Cautionary Note on Pricing Longevity Index Swaps In December 2007, Goldman Sachs launched a product called QxX index swap, which is designed to allow market participants to hedge or gain ...- Authors: Siu-Hang Li, Rui Zhou
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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The Mollification Analysis of Stochastic Volatility
The Mollification Analysis of Stochastic Volatility One of the most important problems in Finance is the valuation of financial securities written on underlying assets whose prices are ...- Authors: Lijia Guo
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models