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Full-Text Articles in Insurance
A Primer On Duration, Convexity, And Immunization, Leslaw Gajek, Krzysztof Ostaszewski, Hans-Joachim Zwiesler
A Primer On Duration, Convexity, And Immunization, Leslaw Gajek, Krzysztof Ostaszewski, Hans-Joachim Zwiesler
Journal of Actuarial Practice (1993-2006)
The concepts of duration, convexity, and immunization are fundamental tools of asset-liability management. This paper provides a theoretical and practical overview of the concepts, largely missing in the existing literature on the subject, and fills some holes in the body of research on the subject. We not present new research, but rather we provide a new presentation of the underlying theory, which we believe to be of value in the new North American actuarial education system.
An Approach To Estimating Market Value And Duration Of Interest-Sensitive Whole Life Contracts, Thomas J. Merfeld
An Approach To Estimating Market Value And Duration Of Interest-Sensitive Whole Life Contracts, Thomas J. Merfeld
Journal of Actuarial Practice (1993-2006)
A fixed premium interest·sensitive whole life contract is analyzed in order to estimate its market value. In addition, using various definitions of duration, we determine the duration of the contract for each definition. The results of this analysis have implications for market value accounting of life insurance liabilities and for life company portfolio management.
The Markov Chain Interest Rate Scenario Generator Revisited, Sarah L.M. Christiansen
The Markov Chain Interest Rate Scenario Generator Revisited, Sarah L.M. Christiansen
Journal of Actuarial Practice (1993-2006)
This paper furthers the development of the Markov chain interest rate generator. Though the basic technique remains essentially unchanged, there are still many significant changes to the model. For example: (i) the long (key) rates are now are generated by a mean reversionary process; (ii) the number of shapes is increased from seven to 11; (iii) the limitation of changing by only two shape codes per year is removed; and (iv) the random walk matrix that determines the shapes is revised to be more realistic. An algorithm is developed to determine the shape code of the original yield curve, thus …