Investment Guarantees the new science phần 1 pps

... for Segregated Fund Guarantees 13 4 Pricing by Deduction from the Separate Account 14 2 The Unhedged Liability 14 3 Examples 15 1 Introduction 15 7 The Quantile Risk Measure 15 9 The Conditional Tail ... Black-Scholes-Merton Assumptions 12 3 The Black-Scholes-Merton Results 12 4 The European Put Option 12 6 The European Call Option 12 8 Put-Call Parity 12 8 Dividend...

Ngày tải lên: 14/08/2014, 05:20

... 2.608 0. 215 12 12 0.944 16 . 811 18 . 714 1. 903 2 .10 6 0.202 13 11 9.696 17 .767 19 . 718 1. 9 51 2 .17 1 0. 219 14 12 8.840 9.442 10 .280 0.838 0.693 0 .14 5 15 13 1.346 7.209 7.782 0.573 0.706 0 .13 3 16 13 3.677 ... t ͉ ԽԽ ԽԽ Ά· Ϫ Ϫ Ϫ Ϫ Ϫ Ϫ Ϫ Ϫ ϪϪ Ϫ Ϫ ϪϪ Ϫ Ϫ Ϫ Ϫ ␶ ␶ ␶␶ ␶ ␶ Ϫ ϪϪ Ϫ ϪϪ ϪϪ ϪϪ ⌿Ϫ⌿ ⌿ ⌿ ⌿⌿ ⌿ ␶ ␶ 1 1 1 1 11 1 11 1 1 1 survivingto tq – 1. Theterm int...

Ngày tải lên: 14/08/2014, 05:20

... 4. 31 2 .17 1. 27 1. 14 1. 07 10 9.50 6.03 0.24 0.79 1. 31 1.59 1. 75 9 11 .33 7 .15 2.87 0. 71 0.44 1. 07 1. 40 1. 58 8 13 .16 8.27 3.62 1. 18 0.08 0.83 1. 21 1. 41 7 15 .25 9.95 4.45 1. 75 0.26 0. 61 1.05 1. 26 6 ... 0 .13 0.36 15 20 .19 13 .57 6.46 3 .18 1. 58 0.66 0 .12 0 .12 14 23.35 15 .59 7.44 3.82 2.06 1. 00 0.36 0 .12 13 27.90 18 .69 8.62 4.20 2.23 1. 2...

Ngày tải lên: 14/08/2014, 05:20

... Data ProbabilityFunctionsfor 34 S = = ס םס םס םס ססס םם סססםסס = סם סם , . pp. pp. pp. pp . pppp prRrRr. R nS nS SRR,RRRnR. RRnR. ءءء ء Fortheunconditionalprobabilitydistribution,usetheinvariantdistri- butionoftheregime-switchingMarkovchain.Theinvariantdistribution ()istheunconditionalprobabilitydistributionfortheMarkov process.Thismeansthatatanytime,withnoinformationabouttheprocess history,t...

Ngày tải lên: 14/08/2014, 05:20

... ␮␴ ␮ ␴ ␴ ␮␴ Ϫ t t 2 2 4 ם 3 , t,u,v,w suchthat t < Յ uv < w , ProbabilityFunctionsfor 34 S = = ס םס םס םס ססס םם סססםסס = סם סם , . pp. pp. pp. pp . pppp prRrRr. R nS nS SRR,RRRnR. RRnR. ءءء ء Fortheunconditionalprobabilitydistribution,usetheinvariantdistri- butionoftheregime-switchingMarkovchain.Theinvariantdistribution ()istheunconditionalprobabilitydistributionfortheMarkov process.Th...

Ngày tải lên: 14/08/2014, 05:20

... ␴ ␲␴ ␮␮ ␴␴ 2 11 1 12 1 1 2 2 1 22 2 1 22 2 1 22 2 2 22 2 11 22 2 TABLE 4 .1 THE CANADIAN CALIBRATION TABLE 67 Calibration table of maximum acceptable quantiles from the CIA SFTF report (2000). 1- year ... ͉ ͉ ΘΙ ΘΙ ͫͬ Α Ϫ Ϫ ϪϪ Ϫ Ϫ Ϫ ϪϪ ␮ ␥ ␮ ␮␮␥ r r 12 12 1 312 1 1 11 1 12 12 12 functionforthemultivariateseries{ x,x, ,x} canbewrittenas TABLE3.3 TABLE3.4 Maximu...

Ngày tải lên: 14/08/2014, 05:20

... estimation. 1. 0000 0 .16 30 0 .16 81 0 .10 43 0 .16 78 0.0552 1. 0000 0.3438 0 .10 94 0.2235 0.0374 1. 0000 0.0796 0.2 517 0.3385 1. 0000 0 .14 76 0 .14 33 1. 0000 0 .12 38 1. 0000 ,, pp TSE 300 1 1 12 2 2 21 1 1 12 2 2 21 be ... LIABILITY 0 2 0 0 1 222 011 1 00 1 12 01 12 21 00 0 1 1 01 11 1 1. Generateauniformrandomnumber u ~ U (0 , 1) . 2. If u < Pr[ ␳␳...

Ngày tải lên: 14/08/2014, 05:20

... 0.546% 15 7 .11 15 8.99 1. 88 . . . 14 1 14 2 10 7. 01 0.0446 12 .339% 11 9. 91 158.99 39.08 14 2 14 3 11 9. 91 0.0500 1. 2 51% 12 1 .11 15 8.99 37.88 14 3 14 4 12 1 .11 0.0505 1. 206% 12 2.26 15 8.99 36.73 14 4 14 5 15 8.99 ... 10 0.27 80 0 6–7 10 0.27 0.0 418 8.098% 10 8 .12 80 0 7–8 10 8 .12 0.0450 6. 316 % 10 1.03 80 0 8–9 10 1.03 0.04 21 0.879% 99.89 80 0 9 1...

Ngày tải lên: 14/08/2014, 05:20

... (0.064) 19 56 19 78 0. 016 0.006 0.027 0.0 51 0 .17 6 0.2 21 1979–20 01 0. 014 0. 016 0.037 0.085 0.034 0 .15 2 19 90–20 01 0. 012 0.034 0.037 0.077 0.028 0.207 pp ˆˆ Data Period ˆ ˆ ˆ ˆ p 1 2 1 2 12 21 To explore ... UNCERTAINTY 219 Stress testing; risk measures for 20-year GMAB contract, per $10 0 single premium. Actuarial 19 56 19 99 5.93 8.85 14 .11 19 79–20 01 7.85 11...

Ngày tải lên: 14/08/2014, 05:20

... 0.9 911 7 0 .16 5 51 0.00036 19 2 0.9 918 3 0.24069 0.00037 237 0.9 911 5 0 .16 404 0.00036 19 3 0.9 918 2 0.23872 0.00037 238 0.9 911 3 0 .16 259 0.00036 19 4 0.9 918 1 0.23677 0.00037 239 0.9 911 1 0 .16 115 0.00036 19 5 ... t Se P t Pt t Pt t Pt Se Pt Pt tPt t Pt t S e e P t 1 1 0 22 22 1 1 1 1 1 1 1 0 33 33 2 2 2 2 2 2 21 1 2 2 1 1 21 2 12 1 212 1 2 12 2 21 0 1...

Ngày tải lên: 14/08/2014, 05:20