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...
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Technical papers/Insurance articles
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.
Improving variable annuity valuation and reserving by regressing over scenarios, using a technique from American option pricing. Variable annuity economic capital
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...
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...
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....
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,...
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...
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.
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