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Securitization of Mortality Risks in Life Annuities
Securitization of Mortality Risks in Life Annuities Securitization of mortality risks is an alternative ... this paper is to study mortality-based securities, such as swaps and mortality bonds, and to price the ...- Authors: Samuel Cox, Yijia Lin
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Investment strategy - Finance & Investments
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Actuarial and Financial Valuations of Guaranteed Annuity Options
Actuarial and Financial Valuations of Guaranteed Annuity Options Guaranteed Annuity Options ... Financial Valuations of Guaranteed Annuity Options Guaranteed Annuity Options GAOs are options available ...- Authors: SHANGXUE GAO, RUOWEI ZHOU
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Pensions & Retirement>Plan design
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Stochastic Control Theory for Optimal Investment
surplus u : ( ) Pr{ ( ) 0 for some 0}u U t tψ = < ≥ (1) and ( ) Pr{ ( ) 0 for some }u s U t t sψ ... sψ , = < ≤ where ( )U t is the amount of business surplus at time t . One would like to minimize these ...- Authors: MARITINA TOLEDO CASTILLO, Gilbert Parrocha
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Assessing Risk for Insurance Funded by Zero Coupons with Stochastic Interest Rates
moments of insurance assuming various discrete mortality models with interest rates that follow an autoregressive ... annuities and life insurance assuming a discrete mortality model with interest rates driven by a normal ...- Authors: H Tolley, HENRY CONRAD WURTS
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
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Home Equity Conversion Plans for the Elderly
Home Equity Conversion Plans for the Elderly This paper establishes the need for home equity ... rates=Interest rates;Inflation;Longevity;Mortality rates=Mortality tables=Death rates ;Mortgages;Retirement ...- Authors: Giovanni DiMeo
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Pensions & Retirement>Retirement risks
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Dynamic Spanning of Contingent Claims
risk-free asset, denoted B, and n stocks, denoted S 1 . . . . . Sn. An investor may take positions ... changes by ~(t)lB(t+dt) - B(t)l + Ol(t)lS~(t+dt) - S~(t)l + , • + 0n(t)lS,~(t+dt) - Sn(t)]. If we add ...- Authors: Hal Warren Pedersen
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Credit Portfolio Optimization under Condition of Multiple Credit Transition Metrics
each country and industry segment. Here is a table that clearly compares the differences among these ... which our later work largely depends on. 6 TABLE 2-1 Popular Models of Credit Risk Analysis ...- Authors: Min Jie (Helen) Han
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Optimal Hedge Ratio and Hedge Efficiency: An Empirical Investigation of Hedging in Indian Derivatives Market
ordinary least squares (OLS) method. S = a + b. F + u (3) Where “a” is the intercept term (expected ... price. .S a b F uΔ = + Δ + (4) Where, terms “a” and “b” are constants, SΔ = S(t) - S(t-1) and ...- Authors: Svd Nageswara Rao, Sanjay Kumar Thakur
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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A Note on Hedging and the Put Option
he has a concave utility function U(x) such that U'(x) • 0 and U"(x) '0 . Now the investor needs to ... hedging plan H(X), the investor's expected utility is E[U(X 6 H(X) -P)], With buying tile put option with ...- Authors: Xiaochuan Wang
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments
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Multiple Currency Option Selection Using Stochastic Constraints
either moves up to S,,t+l -- S, tui with probability p, or moves down to Si,t+l = S, td~ with probability ... f~ (2) e ('-'~Dat -d l p, = (3) u~ - di where r: U. S. interest rate. r,1: Foreign interest ...- Authors: David C Thurston, Kelly T Au, Joel R Barber
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments