Technical papers/Insurance
Robust hedging of withdrawal guarantees
Withdrawal guarantees ensure the periodic deduction of a constant dollar amount from a fund for a fixed number of periods. If the fund is depleted before the last withdrawal, the guarantor has to finance...
Trading strategies that follow trends, or market momentum, result in positively skewed distribution of trading returns. Strategies that are linear in the factors driving the momentum have been studied...
With a second European Union consultation on moving pension fund capital requirements on to a more market-consistent, risk-based capital framework, many have been alarmed at the idea of heavy Solvency...
Don't get left behind
How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Technical papers/Insurance articles
Assessment of longevity risk under Solvency II
As the implementation of Solvency II looms, the calibration of the standard formula remains a controversial issue as the industry runs the fifth quantitative impact study. But the current design overshoots the one in 200 year confidence level.
Variable annuity economic capital: the least squares Monte Carlo approach...
Improving variable annuity valuation and reserving by regressing over scenarios, using a technique from American option pricing. Variable annuity economic capital
Calculation of variable annuity market sensitivities using a pathwise...
Under traditional finite difference methods, the calculation of variable annuity sensitivities can involve multiple Monte Carlo simulations, leading to high computational cost. A pathwise approach reduces this dramatically, while providing an unbiased...
A stochastic model for pricing longevity-linked guarantees
As securitisation of longevity gathers pace, the importance of implementing longevity risk models is growing. Here we outline a market-consistent model for the evolution of survival, independent of historical parameterisation, analogous to the Heath-Jarrow-Morton...
Pricing and hedging of variable annuities
Variable annuity products are unit-linked investments with some form of guarantee, traditionally sold by insurers or banks into the retirement and investment market. Pricing VAs is similar to pricing long-dated financial derivatives on a basket of assets....
Model selection for loss reserves: The Growing Triangle technique
The problem of choosing an appropriate methodology for estimating loss reserves for a given set of loss data has long been an important task for actuaries. A 'Growing Triangle' technique is proposed for this purpose, in which sub-triangles of losses,...
Mortality fluctuations modelling with a shared frailty approach
Lifetimes within a population can exhibit dependencies due to the common effect of unobservable risk factors. This paper proposes a shared frailty model for stochastic lifetimes dependence in the context of the Gompertz model and examines the effect on...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
Related conferences
-
Risk OTC Derivatives Clearing Summit
USA, 5th Jun 2013
-
Quant Congress Europe
UK, 12th Jun 2013
-
Risk and Return Brasil - Portuguese
Brazil, 12th Jun 2013
-
Risk & Return Brazil - English
Brazil, 12th Jun 2013
-
What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
Related training
-
Nexus-Risk Training
Canada, 21st - 16th Oct 2013
-
Gas Portfolio Optimisation
UK, 22nd - 23rd May 2013
-
Active Risk Management in the Treasury
USA, 29th - 30th May 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Market Data, Reference Data & Technology Training
Canada, 10th - 14th Jun 2013
Updating your subscription status 
Risk IPad Apps
Email alerts
Weekly poll
Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
Related Jobs
