Audit report on the Iowa Judicial Retirement System for the year ended June 30, 2011 [PDF]
, 2011 Audit report on the Iowa Judicial Retirement System for the year ended June 30 ...
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Using the Black Scholes method for estimating high cost illness insurance premiums in Colombia
Innovar: Revista de Ciencias Administrativas y Sociales, 2009 This article applied the Black-Scholes option valuation formula to calculating high-cost illness reinsurance premiums in the Colombian health system. The coverage pattern used in reinsuring high-cost illnesses was replicated by means of a European call ...
Liliana Chicaíza, David Cabedo
doaj
Audit report on the Peace Officers' Retirement, Accident and Disability System for the year ended June 30, 2010 [PDF]
, 2010 Audit report on the Peace Officers' Retirement, Accident and Disability System for the year ended June 30 ...
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Audit report on the Iowa Judicial Retirement System for the year ended June 30, 2012 [PDF]
, 2013 Audit report on the Iowa Judicial Retirement System for the year ended June 30 ...
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Efficient simulation and valuation of equity-indexed annuities under a two-factor G2++ model
European Actuarial JournalEquity-indexed annuities (EIAs) with investment guarantees are pension products sensitive to changes in the interest rate environment. A flexible and common choice for modelling this risk factor is a Hull–White model in its G2++ variant.
Sascha Günther, P. Hieber
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Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates [PDF]
, 2008 In this paper we study the optimal management of an aggregated pension fund of defined benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can invest in a savings account, in a risky stock and in a bond, with the ...
Josa-Fombellida, Ricardo +1 more
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Lee-Carter goes risk-neutral: an application to the Italian annuity market [PDF]
, 2005 We consider a class of stochastic intensities of mortality that generalizes the model proposed by Lee and Carter (1992), allowing general diffusions to drive the mortality time-trend.
Biffis, E., Denuit, M.
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VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO
ASTIN Bulletin: The Journal of the International Actuarial Association, 2019 We consider the problem of pricing modern guarantee concepts in unit-linked life insurance, where the guaranteed amount grows contingent on the performance of an investment fund that acts simultaneously as the underlying security and the replicating ...
T. Bienek, M. Scherer
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Role of the Pension Protection Fund in financial risk management of UK defined benefit pension sector: a multi-period economic capital study [PDF]
, 2015 With the advent of formal regulatory requirements for rigorous risk-based, or economic, capital quantification for the financial risk management of banking and insurance sectors, regulators and policy-makers are turning their attention to the pension ...
Lauritzen, McNeil, Porteous
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Community Valuations of Environmental Qality in Coastal Lakes: Lake Illawarra Case Study [PDF]
This study illustrates how the hedonic pricing method can measure the value of environmental assets in an urban setting. A HPM valuation, utilising relatively easily accessible secondary data, and a semi-logarithmic regression form, is used.
Hodgkinson, Ann, Valadkhani, Abbas
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