Investment Guarantees the new science phần 8 ppsx

... 0.93 0.11 0. 68 0.93 4 23.66 15 .81 6 .88 3.13 1.25 0.17 0.47 0.74 3 27.76 18. 34 7.99 3.64 1.53 0.29 0.33 0.60 2 31 .86 20 .88 9.11 4.15 1 .81 0.41 0.19 0.47 1 36.60 23.91 9.92 3. 58 0 .87 0.11 0.37 ... 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 17.35 11.63 5. 28 2.31 0.61 0.39 0 .89 1.11 5 20....

Ngày tải lên: 14/08/2014, 05:20

... 5.246 5.3 08 0.062 8 106.365 32.111 37.603 5.492 5.730 0.2 38 9 107.996 30. 682 35.6 18 4.936 5. 188 0.252 10 119.560 18. 480 20 .82 3 2.343 1 .82 9 0.513 11 1 18. 520 19.363 21.755 2.393 2.6 08 0.215 12 ... 16 .81 1 18. 714 1.903 2.106 0.202 13 119.696 17.767 19.7 18 1.951 2.171 0.219 14 1 28. 840 9.442 10. 280 0 .83 8 0.693 0.145 15 131.346 7.209 7. 782 0.573 0.706 0.133 16 133.677 5...

Ngày tải lên: 14/08/2014, 05:20

... Life-mathematical models. 2. Risk management–Mathematical models. 1. title. II. Series. HG8 781 .H313 2003 3 68. 32’00 68 1–dc21 2002034200 Printed in the United States of America. 10 987 654321 ᭺ ϱ ࠽ Investment Guarantees MARY ... some of the contracts that offer investment guarantees as part of the benefit package. We also introduce the two common methods for managing invest...

Ngày tải lên: 14/08/2014, 05:20

... for n ␮␴ ␮ 12 2 AR(1) AUTOREGRESSIVEMODELS 27 AutoregressiveModels ++ = + = Y Y q Y aa a a t ta a a 1 Theautoregressivemodelsdescribedherearediscreteprocesseswherethe deviationoftheprocessfromthelong-termmeaninfluencesthedistribution ofsubsequentvaluesoftheprocess.Inallcases,weworkwiththelog-return log.Ifweassumealong-termmeanforof,thenthe deviationsfromthemeanusedtodefinethedistributionofareth...

Ngày tải lên: 14/08/2014, 05:20

... RETURNS 10 = ם K S $1000atmaturity,evenifthemarketvalueofherorhisportfoliois lessthan$1000atthattime.Itistheresponsibilityoftheinsurertopay ),theexcessoftheguaranteedamountoverthemarketvalue oftheassets,meaningthattheinsurerpaysthepayoffunderaputoption. Therefore,thetotalsegregatedfundpolicybenefitismadeupofthe policyholder’sfundplusthepayofffromaputoptiononthefund.From put-callparityweknowtha...

Ngày tải lên: 14/08/2014, 05:20

... 2 88 5.7 87 9.4 88 3.7 10 AR(1) 3 88 7.4 87 8.0 88 4.4 10 ARCH 3 88 9.4 88 0.0 88 6.4 10 AR-ARCH 4 88 9.4 87 6.9 88 5.4 10 STABLE 4 912.2 89 9.7 9 08. 2 10 GARCH 4 89 6.2 88 3.7 89 2.2 10 AR-GARCH 5 900.2 88 4.5 ... 900.2 88 4.5 89 5.2 10 RSLN-2 6 922.7 RSAR-2 8 923.0 89 8.7 915.0 0 .82 RSLN-3 12 925.9 88 8.3 913.9 0. 38 log LN 2 929 .8 923.5 927 .8 10 AR(1) 3 930.0...

Ngày tải lên: 14/08/2014, 05:20

... guaranteed renewal of the contract. On renewal the minimum term applies (typically 10 years). There may be an upper limit to the number of allowable renewals. , then the insurer must pay out the difference. ... difference. Then, on renewal, the fund value is . The contract then starts again at the same guarantee level. ,theguaranteeis automatically reset at renewal to the fu...

Ngày tải lên: 14/08/2014, 05:20

... 0.04 18 8.0 98% 1 08. 12 80 0 7 8 1 08. 12 0.0450 6.316% 101.03 80 0 8 9 101.03 0.0421 0 .87 9% 99 .89 80 0 9–10 99 .89 0.0416 10.7 08% 110.31 80 0 10–11 110.31 0.0460 6.302% 103.40 80 0 . . . 23–24 1 48. 47 ... 1 58. 99 80 0 24–25 1 58. 99 0.0662 1.917% 161.63 1 58. 99 0 25–26 161.63 0.0673 7.004% 149.94 1 58. 99 9.05 26–27 149.94 0.0625 4.7 38% 156.65 1 58. 99 2.34 27– 28 156.65 0...

Ngày tải lên: 14/08/2014, 05:20

... lapses. 5% 10.61 15 .88 104.23 16.04 100.27 6% 9.77 7 .81 89 .13 8. 60 78. 53 7% 9.04 2.27 48. 41 3.64 47.95 8% 8. 40 0.29 10.19 1.16 20.93 9% 7 .83 0.01 0.70 0.27 6. 38 10% 7.33 0.00 0.02 0.05 1. 38 Dynamic Hedging yy aa םם סם ם ס ס ם סס סס ... rate 1 9. Bonds, with lapses 8% 12 .88 19.29 39.16 Stocks, with lapses 8% 4.41 5 .89 9.45 Stocks, no lapses 8% 14.73 19.67 31.56 Stocks, no...

Ngày tải lên: 14/08/2014, 05:20

... 0.00029 299 0. 989 74 0.09 081 0.00033 345 0. 988 18 0.05464 0.000 28 300 0. 989 71 0. 089 88 0.00033 346 0. 988 14 0.05400 0.000 28 301 0. 989 68 0. 088 96 0.00033 347 0. 988 10 0.05336 0.000 28 302 0. 989 65 0. 088 04 0.00033 ... 0.00033 3 48 0. 988 06 0.05272 0.000 28 303 0. 989 62 0. 087 13 0.00033 349 0. 988 02 0.05209 0.000 28 304 0. 989 59 0. 086 22 0.00033 350 0. 987 98 0.05...

Ngày tải lên: 14/08/2014, 05:20