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Deep Learning for Liability-Driven Investment
optimization of a dynamic asset allocation strategy is difficult to achieve with dynamic programming, whose ... construct a framework for learning the optimal dynamic strategic asset allocation plan for LDI, one can ...- Authors: Kailan Shang
- Date: Feb 2022
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Finance & Investments; Predictive Analytics
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Predictive Analytics: A Primer for Pension Actuaries
variables. Reinforcement learning is related to dynamic decision-making. It requires trial and error to ... Institute Also being able to model on the fly, in a dynamic way can really allow decision makers to gain intuition ...- Authors: David M Cantor, Kailan Shang
- Date: Oct 2021
- Competency: External Forces & Industry Knowledge
- Topics: Pensions & Retirement
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Practical Application of “Do Jumps Matter in the Long Term? A Tale of Two Horizons”
Practical Application of “Do Jumps Matter in the Long Term? A Tale of Two Horizons” The essay ... greater deficits, should insolvency happen. c. Dynamic portfolio problems—BB analyze a hedging portfolio ...- Authors: Mathieu Boudreault, Kailan Shang, David M Cantor
- Date: Sep 2021
- Competency: External Forces & Industry Knowledge
- Topics: Actuarial Profession
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Deep Learning for Liability-Driven Investment
Deep Learning for Liability-Driven Investment The Society of Actuaries’ Committee on Finance ... and reinforcement learning techniques to optimal dynamic strategic asset allocation for Liability Driven ...- Authors: Kailan Shang
- Date: Jun 2021
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Deep Learning for Liability-Driven Investment
and reinforcement learning techniques to optimal dynamic strategic asset allocation for Liability Driven ... and reinforcement learning techniques to optimal dynamic strategic asset allocation for Liability Driven ...- Authors: Kailan Shang
- Date: Jun 2021
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Macroeconomics Based Economic Scenario Generation
Macroeconomics Based Economic Scenario Generation This article introduces a non-traditional type ... of economic scenario generator that relies on dynamic stochastic general equilibrium (DSGE) models are ...- Authors: Kailan Shang
- Date: Apr 2020
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Economics; Enterprise Risk Management
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Macroeconomics-Based Economic Scenario Generation
Macroeconomics-Based Economic Scenario Generation ... This paper introduces actuaries and others to dynamic stochastic general equilibrium (DSGE) models, a ...- Authors: Kailan Shang
- Date: Apr 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Wavelet-Based Equity VaR Estimation
(2012) used the MODWT to calculate the appropriate dynamic minimum-variance hedging ratio for various time ... and John Cotter. 2012. “An Empirical Analysis of Dynamic Multiscale Hedging Using Wavelet Decomposition ...- Authors: Kailan Shang
- Date: Aug 2019
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Enterprise Risk Management>Risk measurement - ERM
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Liability-Driven Investment
inflation and unemployment rate. Examples include the dynamic stochastic general equilibrium (DSGE) models ... Determination of plan contributions is key to the dynamic projection of plan assets and liabilities. Insurance ...- Authors: Kailan Shang
- Date: Apr 2019
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments; Pensions & Retirement
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Effective ERM Stakeholder Engagement
Effective ERM Stakeholder Engagement This Effective Enterprise Risk Management (ERM) ... decision-making. Risk may also be mitigated by dynamic trading in a dynamic hedging program. The transaction cost ...- Authors: Kailan Shang
- Date: Mar 2018
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The Optimal Timing of Risk Management
risk management projects require dynamic trading such as in a dynamic hedging program. The transaction ... process is even more complicated and may require dynamic programming. With these adjustments, different ...- Authors: Society of Actuaries, Kailan Shang
- Date: Dec 2016
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risk Management
- Topics: Enterprise Risk Management
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The Optimal Timing of Risk Management
risk management projects require dynamic trading such as in a dynamic hedging program. The transaction ... process is even more complicated and may require dynamic programming. With these adjustments, different ...- Authors: Kailan Shang
- Date: Aug 2016
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Economics>Financial economics
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Extreme Events for Insurers: Correlation, Models and Mitigation Study
household financial analysis is a key to understanding dynamic policyholder behaviors. In a financial crisis ... high credit spread or default rate with adverse dynamic policyholder behavior can be used as a stress ...- Authors: Kailan Shang, Marc Alexandre Vincelli
- Date: Apr 2015
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Contingent Liquidity Swap: A Prearranged Source of Liquidity - Abstract
embedded value, strategic capital management, dynamic management option and policyholder behavior. ... Loss Simulation Model subcommittee of the CAS Dynamic Risk Modeling Committee. Since 2013, he has ...- Authors: Kailan Shang, Jingjing Shang
- Date: Mar 2015
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Pension Plan Embedded Option Valuation
Pension Plan Embedded Option Valuation With the credit interest rate floor of a cash balance plan—a ... Elias S.W. Shiu. “Pricing Lookback Options and Dynamic Guarantees.” North American Actuarial Journal ...- Authors: Kailan Shang
- Date: Jun 2013
- Competency: External Forces & Industry Knowledge