Risk Measures for Investment Guarantees PDF Download
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Author: Melanie Serbiné
Publisher:
ISBN:
Category : Life insurance
Languages : en
Pages : 74
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Book Description
Author: Melanie Serbiné
Publisher:
ISBN:
Category : Life insurance
Languages : en
Pages : 74
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Book Description
Author: Mary Hardy
Publisher: John Wiley & Sons
ISBN: 0471460125
Category : Business & Economics
Languages : en
Pages : 306
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Book Description
A comprehensive guide to investment guarantees in equity-linked life insurance Due to the convergence of financial and insurance markets, new forms of investment guarantees are emerging which require financial service professionals to become savvier in modeling and risk management. With chapters that discuss stock return models, dynamic hedging, risk measures, Markov Chain Monte Carlo estimation, and much more, this one-stop reference contains the valuable insights and proven techniques that will allow readers to better understand the theory and practice of investment guarantees and equity-linked insurance policies. Mary Hardy, PhD (Waterloo, Ontario, Canada), is an Associate Professor and Associate Chair of Actuarial Science at the University of Waterloo and is a Fellow of the Institute of Actuaries and an Associate of the Society of Actuaries, where she is a frequent speaker. Her research covers topics in life insurance solvency and risk management, with particular emphasis on equity-linked insurance. Hardy is an Associate Editor of the North American Actuarial Journal and the ASTIN Bulletin and is a Deputy Editor of the British Actuarial Journal.
Author: Kenneth L. Walker
Publisher: McGraw-Hill Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 380
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Book Description
Author: Patrice Edelmann
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Gregory Elmiger
Publisher: Wiley
ISBN: 0471453560
Category : Business & Economics
Languages : en
Pages : 259
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Book Description
Praise for RiskGrade Your Investments "In the same way that the introduction of RiskMetrics raised the level of the discussion (and sometimes debate) regarding market risk measurement and management at large financial institutions, the introduction of RiskGrades and this book represent a major step in the understanding and application of risk measurement and management techniques by individual investors." -Charles Smithson, Managing Partner, Rutter Associates, and author of Managing Financial Risk What Others Are Saying About RiskGrades.com Forbes' best of the web 2002: "Savvy analysis, all free." "A new and impressive Web-based service that promises to offer a clue to the question of how risky is your portfolio. RiskMetrics has been measuring portfolio risk for big financial institutions since 1994 and now sheds some light on investor risk. RiskGrades helps investors combine risk and return to make proper investment decisions." -BusinessWeek "Owning a high percentage of company stock in a retirement plan--any more than 20 percent--is one of the riskiest propositions in investing, and yet employees almost never measure this risk objectively or reduce their positions. . . . It is easy to approximate investment risk. A useful tool for measuring risk is available through RiskMetrics Group's www.riskgrades.com, a service that will measure the volatility and return of single securities or whole portfolios against all asset classes and international regions." -Financial Times "Without divining what exactly a fund owns, the system simply distills risk down to the likelihood of finding a severe change in its value on a given day. . . . Running a few notable funds through the rating bath can be a useful check on what an investor is putting on the line for a given dollar of investment gains." -Barron's "Mathematicians and economists use complex computer programs to examine the effects of different shocks on different portfolios. Such tests have been used for several years by professionals who manage multimillion-dollar investment funds. But RiskMetrics, a spinoff of J.P. Morgan Chase, is now providing similar tools for individual investors. RiskMetrics runs a Web site, www.riskgrades.com, which investors can use free of charge. The Web site allows investors to stress-test individual stocks and mutual funds as well as portfolios." -The Wall Street Journal
Author: Wojtek Piaskowski
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Michel Henry Bouchet
Publisher: John Wiley & Sons
ISBN: 047086818X
Category : Business & Economics
Languages : en
Pages : 286
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Book Description
One of the few books on the subject, Country Risk Assessment combines the theoretical and practical tools for managing international country risk exposure. - Offers a comprehensive discussion of the specific mechanisms that apply to country risk assessment. - Discusses various techniques associated with global investment strategy. - Presents and analyses the various sources of country risk. - Provides an in depth coverage of information sources and country risk service providers. - Gives techniques for forecasting country financial crises. - Includes practical examples and case studies. - Provides a comprehensive review of all existing methods including the techniques on the cutting-edge Market Based Approaches such as KMV, CreditMetrics, CountryMetrics and CreditRisk+.
Author: Daniel Wagner
Publisher: CRC Press
ISBN: 1466500484
Category : Business & Economics
Languages : en
Pages : 308
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Book Description
What would you do if a law that enabled your investment to operate successfully abroad suddenly changed, and your business could no longer operate profitably there? Imagine exporting goods to a government buyer only to discover after the fact that your home country, or the United Nations, has just imposed an embargo on that country. Managing Countr
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
Author: Lei Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
With the development of the life insurance industry, different types of life insurance products, in addition to the traditional ones, are being developed. A common and well-known life insurance product is the variable annuity with different types of guaranteed benefit riders, which provides policyholders a high rate of investment return with downside risk protections. Two typical distortion risk measures, VaR (value at risk) and CTE (conditional tail expectation), are widely used to manage insurers' future liabilities to avoid the potential of insolvency. In this project, we consider variable annuities with certain types of guaranteed benefits and various asset price processes, and focus on the calculation of the two risk measures of insurers' net and gross liabilities at the maturity date. Specifically, we consider two types of guaranteed benefit riders, the guaranteed minimum death benefit (GMDB) and the guaranteed minimum maturity benefit (GMMB), and assume that the logarithm of underlying asset returns follows a Cauchy or a skew-normal distribution. Analytical expressions of VaR and CTE for insurers' future liabilities are obtained, and numerical calculation algorithms are proposed. Comparisons of the calculated risk measure results with that under the normal distribution are also presented.
