Pricing Equity Index Annuities With Surrender Options In Four Models

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Pricing Equity Index Annuities with Surrender Options in Four Models

Author : Abdou Kélani
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Pricing Equity Index Annuities with Surrender Options in Four Models by : Abdou Kélani

Download or read book Pricing Equity Index Annuities with Surrender Options in Four Models written by Abdou Kélani and published by . This book was released on 2015 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since Keyport Life first launched ”Key Index” in February 1995, Equity-indexed annuities are considered to be the most innovative products to appear on the market in years. EIAs are, essentially equity-linked deferred annuities which provide the policyholder with a guaranteed accumulation rate on their premium, and also at maturity, benefits from an additional return based on the performance of an equity mutual fund or a family of mutual funds or a stock index, typically of the Standard and Poor's (S&P 500) index, so the customer can profit from the growth of the stock market. Products designs of EIAs can vary , depending on the companies that sell them.In this paper, we focus on the pricing of one of the product design in the market which gives the possibility to surrender their policy before maturity. Such options can be valued using Monte Carlo simulation method proposed for pricing American options but, here, we use the least squares Monte-Carlo suggested by Longstaff and Schwartz added to the control variate tool in order to construct efficient estimators. We analyze these equity-linked life insurance contracts under four different models. The frameworks differ from the way we model the price of the fund associated with the contract. The first setting is the usual Black and Scholes model, the second is the environment of jump diffusions, especially a Kou process, the third is the regime switching log normal model developed by Hamilton and the fourth is a mixed of a regime switching and a jump diffusion. The surrender option is priced using the Longstaff and Schwartz methodology.

Pricing Equity-Indexed Annuities with Surrender Options in a Stochastic Interest Rates Environment

Author : Abdou Kélani
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Pricing Equity-Indexed Annuities with Surrender Options in a Stochastic Interest Rates Environment by : Abdou Kélani

Download or read book Pricing Equity-Indexed Annuities with Surrender Options in a Stochastic Interest Rates Environment written by Abdou Kélani and published by . This book was released on 2014 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to value EIA contracts with surrender option at a fair price in a stochastic interest rate environment. A non Gaussian model is proposed where a new process called Kou Regime Switching process is introduced to give a more realistic modelling for financial prices. A general methodology is proposed and applied to mix GMDB and GMMB contract. Quasi-closed form solutions are given when the surrender clause is not present and this solution is incorporated into a LSMC algorithm to solve the pricing problem in the surrender case.

Life Annuity Products and Their Guarantees

Author : Collectif
Publisher : OECD
ISBN 13 : 9264267794
Total Pages : 108 pages
Book Rating : 4.2/5 (642 download)

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Book Synopsis Life Annuity Products and Their Guarantees by : Collectif

Download or read book Life Annuity Products and Their Guarantees written by Collectif and published by OECD. This book was released on 2016-12-05 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication helps policy makers to better understand annuity products and the guarantees they provide in order to optimise the role that these products can play in financing retirement. Product design is a crucial factor in the potential role of annuity products within the pension system, along with the cost and demand for these products, and the resulting risks that are borne by the annuity providers. Increasingly complex products, however, pose additional challenges concerning consumer protection. Consumers need to be aware of their options and have access to unbiased and comprehensible advice and information about these products.

Pension and Annuity Income

Author : United States. Internal Revenue Service
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.3/5 (126 download)

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Book Synopsis Pension and Annuity Income by : United States. Internal Revenue Service

Download or read book Pension and Annuity Income written by United States. Internal Revenue Service and published by . This book was released on 1990 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The New Rules of Retirement

Author : Robert C. Carlson
Publisher : John Wiley & Sons
ISBN 13 : 0471703303
Total Pages : 290 pages
Book Rating : 4.4/5 (717 download)

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Book Synopsis The New Rules of Retirement by : Robert C. Carlson

Download or read book The New Rules of Retirement written by Robert C. Carlson and published by John Wiley & Sons. This book was released on 2004-12-03 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for THE NEW RULES OF RETIREMENT "As a Wharton graduate, money manager, Chief Financial Officer, and Certified Financial Analyst, I didn't think I needed help in making investment choices and planning for my retirement. I was wrong. I have been a subscriber to Retirement Watch since 1997. I trust Bob Carlson completely and follow his investment, tax, and planning advice personally." --Sandy Kagan, CFA CFO Partner, Tatum Partners "A clear, practical, and wisely unconventional guide to the new world of retirement." --Humberto Cruz Nationally syndicated financial columnist, Tribune Media Services "Bob Carlson does a magnificent job preparing readers for the many challenging issues they will face over the next several decades. Retirees can no longer count on generous asset returns and employer-provided defined benefit plans. Bob provides readers with creative approaches for contending with these challenges to help ensure financially and emotionally secure 'freedom years'." --Lawrence E. Kochard, PhD, CFA Chief Investment Officer, Georgetown University "Bob Carlson shows that three trends--demographics (baby boomers), increasing longevity, and fewer offspring--have changed forever the landscape facing America's retirees. Stereotype retirement based on Social Security and employer pensions is out; making ends meet on your own is in. Better get yourself ready--and you can do so by reading this book." --James C. Miller III Former U.S. Budget Director, Chairman of The CapAnalysis Group, LLC

Index Annuities

Author : John Olsen
Publisher :
ISBN 13 : 9780972825146
Total Pages : 325 pages
Book Rating : 4.8/5 (251 download)

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Book Synopsis Index Annuities by : John Olsen

Download or read book Index Annuities written by John Olsen and published by . This book was released on 2010-12 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Investment Guarantees

Author : Mary Hardy
Publisher : John Wiley & Sons
ISBN 13 : 0471392901
Total Pages : 309 pages
Book Rating : 4.4/5 (713 download)

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Book Synopsis Investment Guarantees by : Mary Hardy

Download or read book Investment Guarantees written by Mary Hardy and published by John Wiley & Sons. This book was released on 2003-03-06 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

The Fair Value of Insurance Liabilities

Author : Irwin T. Vanderhoof
Publisher : Springer Science & Business Media
ISBN 13 : 1475767323
Total Pages : 389 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis The Fair Value of Insurance Liabilities by : Irwin T. Vanderhoof

Download or read book The Fair Value of Insurance Liabilities written by Irwin T. Vanderhoof and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores theoretical and practical implications of reflecting the fair value of liabilities for insurance companies. In addition, the contributions discuss the disclosure of these values to the financial and regulatory communities and auditing firms which are actually calculating this illusive but important variable. It combines contributions by distinguished practitioners from the insurance, accounting and finance fields, with those of prominent academics. One of the central themes of the collection is that adequate disclosure of the true economic value of insurance company liabilities is both possible and desirable. Wherever possible, the insurance valuation process is wedded with modern financial theory. For example, the use of option pricing theory is applied to insurance companies, where the true value of the firm's liabilities is a critical variable. Methods such as cash flow, earned profit and indirect discount are explored.

International GAAP 2016

Author : Ernst & Young LLP
Publisher : John Wiley & Sons
ISBN 13 : 1119180481
Total Pages : 4399 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis International GAAP 2016 by : Ernst & Young LLP

Download or read book International GAAP 2016 written by Ernst & Young LLP and published by John Wiley & Sons. This book was released on 2015-12-21 with total page 4399 pages. Available in PDF, EPUB and Kindle. Book excerpt: International GAAP® 2016 is a comprehensive reference tool to interpreting and implementing International Financial Reporting Standards (IFRS) and provides detailed analysis of how complex financial reporting problems can be addressed appropriately and effectively. It demonstrates how difficult practical issues should be approached in the new complex global world of international financial reporting, where IFRS has become the accepted financial reporting system in more than 100 countries. The International Financial Reporting Group of Ernst & Young (EY) includes financial reporting professionals from around the world. Complex technical accounting issues are explained clearly in a working context that enables immediate understanding of the point at issue. It is accompanied by numerous worked examples, a comprehensive discussion of the practical issues of the day and the possible alternative options available, and hundreds of illustrations taken from the actual financial statements of companies that report under IFRS. The volumes cover the International Accounting Standards Board's (IASB) conceptual framework, financial statements, accounting policies, non-current assets held for sale and discontinued operations, consolidated financial statements, foreign exchange, inflation, intangible assets, leases, government grants, income taxes, share-based payment, statement of cash flows, hedge accounting, IAS 39, IFRS 9, insurance contracts and others.

Variable Annuities

Author : Tigran Kalberer
Publisher :
ISBN 13 : 9781906348212
Total Pages : 298 pages
Book Rating : 4.3/5 (482 download)

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Book Synopsis Variable Annuities by : Tigran Kalberer

Download or read book Variable Annuities written by Tigran Kalberer and published by . This book was released on 2009 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variable Annuities provides an overview of all the relevant aspects of variable annuity (VA) products from an insurers perspective. It is a collection of contributions from several authors, co-ordinated in such a way that it covers all relevant areas with minimal overlap and a consistent level of detail.

Life Annuity Products and Their Guarantees

Author : OECD
Publisher : OECD Publishing
ISBN 13 : 9264265317
Total Pages : 110 pages
Book Rating : 4.2/5 (642 download)

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Book Synopsis Life Annuity Products and Their Guarantees by : OECD

Download or read book Life Annuity Products and Their Guarantees written by OECD and published by OECD Publishing. This book was released on 2016-12-05 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication helps policy makers to better understand annuity products and the guarantees they provide in order to optimise the role that these products can play in financing retirement.

International GAAP 2015

Author : Ernst & Young LLP
Publisher : John Wiley & Sons
ISBN 13 : 1118999991
Total Pages : 5679 pages
Book Rating : 4.1/5 (189 download)

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Book Synopsis International GAAP 2015 by : Ernst & Young LLP

Download or read book International GAAP 2015 written by Ernst & Young LLP and published by John Wiley & Sons. This book was released on 2015-03-10 with total page 5679 pages. Available in PDF, EPUB and Kindle. Book excerpt: IFRSs, the standards set by the International Accounting Standards Board (IASB), are complex and sometimes obscure. Understanding their implications and applying them appropriately requires something special; and that is why International GAAP® 2015 is the essential tool for anyone applying, auditing, interpreting, regulating, studying and teaching international financial reporting. It provides expert interpretation and practical guidance for busy professionals, and includes, in every chapter, detailed analysis of how complex financial reporting problems can be resolved appropriately and effectively. The International Financial Reporting Group of Ernst & Young includes financial reporting specialists from throughout the world. Complex technical accounting issues are explained clearly in a practical working context that enables immediate understanding of the point at issue. International GAAP® 2015 is the only globally focused work on IFRSs. It is not constrained by any individual country’s legislation or financial reporting regulations, and it ensures an international consistency of approach unavailable elsewhere. It shows how difficult practical issues should be approached in the complex, global world of international financial reporting, where IFRSs have become the accepted financial reporting system in more than 100 countries. This integrated approach provides a unique level of authoritative material for anyone involved in preparing, interpreting or auditing company accounts, for regulators, academic researchers and for all students of accountancy. All aspects of the detailed requirements of IFRS are dealt with on a topic-by-topic basis. Each chapter of International GAAP® 2015 deals with a key area of IFRS and has a common structure for ease of use: An introduction to the background issues An explanation of relevant principles A clear exposition of the requirements of IFRS A discussion of the implications in practice and possible alternative solutions available Worked examples Extracts from real company accounts A full listing of the required disclosures "...an important part to play in the process of promoting consistent, comparable and high quality financial reporting under IFRSs ... a book that not only provides an analysis of the requirements of the standards and the principles that they expound, but also presents a unique explanation of how the standards should be interpreted and applied in practice." —The Chairman of Trustees of the IASC Foundation "A standard reference work" —Financial Times "The definitive guide to financial reporting." —The Times

International GAAP 2018

Author : Ernst & Young LLP
Publisher : John Wiley & Sons
ISBN 13 : 1119463750
Total Pages : 5360 pages
Book Rating : 4.1/5 (194 download)

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Book Synopsis International GAAP 2018 by : Ernst & Young LLP

Download or read book International GAAP 2018 written by Ernst & Young LLP and published by John Wiley & Sons. This book was released on 2017-12-19 with total page 5360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essential guide to practical IFRS implementation, updated for 2018 International GAAP 2018 is the definitive reference for IFRS application around the world. Written by the expert practitioners at Ernst & Young, this invaluable resource provides both interpretation and practical implementation guidance for anyone applying, auditing, interpreting, regulating, studying, or teaching IFRS. Specific instruction written from a global perspective provides clarity on complex issues, and coverage of the latest changes ensures that you will apply the most current standards appropriately and effectively. Worked examples provide answers at a glance, and hundreds of illustrations from major companies’ financial reports demonstrate IFRS implementation and bring technical concepts to life. Countries around the world have adopted the International Financial Reporting Standards (IFRS), and in the US, foreign private issuers are allowed to report under IFRS without reconciling to US GAAP. This book provides the essential information practitioners need to correctly understand and apply these standards, using a clear, consistent approach to resolving global financial reporting issues under IFRS in real-world scenarios. Updated and expanded for 2018, this new edition allows you to: Get up to date on the newest amendments and interpretations issued in the past year Examine implementation issues caused by widespread adoption of IFRS 9, IFRS 15, and the upcoming adoption of IFRS 16 in 2019 Understand the new insurance contract standard IFRS 17, which solves the comparison problem of IFRS 4 Gain clarity and insight on practical matters involved with IFRS implementation This three-volume set provides the depth and breadth of coverage necessary, with financial instruments covered separately for greater ease of navigation. As the world’s most comprehensive reference for IFRS implementation, International GAAP 2018 is the resource no practitioner, regulator, student, or researcher should be without. For further information on the various digital versions which are available for this material please visit www.wileyigaap.com

The White Coat Investor

Author : James M. Dahle
Publisher : White Coat Investor LLC the
ISBN 13 : 9780991433100
Total Pages : 160 pages
Book Rating : 4.4/5 (331 download)

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Book Synopsis The White Coat Investor by : James M. Dahle

Download or read book The White Coat Investor written by James M. Dahle and published by White Coat Investor LLC the. This book was released on 2014-01 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a practicing emergency physician, The White Coat Investor is a high-yield manual that specifically deals with the financial issues facing medical students, residents, physicians, dentists, and similar high-income professionals. Doctors are highly-educated and extensively trained at making difficult diagnoses and performing life saving procedures. However, they receive little to no training in business, personal finance, investing, insurance, taxes, estate planning, and asset protection. This book fills in the gaps and will teach you to use your high income to escape from your student loans, provide for your family, build wealth, and stop getting ripped off by unscrupulous financial professionals. Straight talk and clear explanations allow the book to be easily digested by a novice to the subject matter yet the book also contains advanced concepts specific to physicians you won't find in other financial books. This book will teach you how to: Graduate from medical school with as little debt as possible Escape from student loans within two to five years of residency graduation Purchase the right types and amounts of insurance Decide when to buy a house and how much to spend on it Learn to invest in a sensible, low-cost and effective manner with or without the assistance of an advisor Avoid investments which are designed to be sold, not bought Select advisors who give great service and advice at a fair price Become a millionaire within five to ten years of residency graduation Use a "Backdoor Roth IRA" and "Stealth IRA" to boost your retirement funds and decrease your taxes Protect your hard-won assets from professional and personal lawsuits Avoid estate taxes, avoid probate, and ensure your children and your money go where you want when you die Minimize your tax burden, keeping more of your hard-earned money Decide between an employee job and an independent contractor job Choose between sole proprietorship, Limited Liability Company, S Corporation, and C Corporation Take a look at the first pages of the book by clicking on the Look Inside feature Praise For The White Coat Investor "Much of my financial planning practice is helping doctors to correct mistakes that reading this book would have avoided in the first place." - Allan S. Roth, MBA, CPA, CFP(R), Author of How a Second Grader Beats Wall Street "Jim Dahle has done a lot of thinking about the peculiar financial problems facing physicians, and you, lucky reader, are about to reap the bounty of both his experience and his research." - William J. Bernstein, MD, Author of The Investor's Manifesto and seven other investing books "This book should be in every career counselor's office and delivered with every medical degree." - Rick Van Ness, Author of Common Sense Investing "The White Coat Investor provides an expert consult for your finances. I now feel confident I can be a millionaire at 40 without feeling like a jerk." - Joe Jones, DO "Jim Dahle has done for physician financial illiteracy what penicillin did for neurosyphilis." - Dennis Bethel, MD "An excellent practical personal finance guide for physicians in training and in practice from a non biased source we can actually trust." - Greg E Wilde, M.D Scroll up, click the buy button, and get started today!

Risk-Based Capital

Author : Lawrence D. Cluff
Publisher : DIANE Publishing
ISBN 13 : 0788186701
Total Pages : 187 pages
Book Rating : 4.7/5 (881 download)

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Book Synopsis Risk-Based Capital by : Lawrence D. Cluff

Download or read book Risk-Based Capital written by Lawrence D. Cluff and published by DIANE Publishing. This book was released on 2000 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt:

International GAAP 2019

Author : Ernst & Young LLP
Publisher : John Wiley & Sons
ISBN 13 : 1119557771
Total Pages : 5328 pages
Book Rating : 4.1/5 (195 download)

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Book Synopsis International GAAP 2019 by : Ernst & Young LLP

Download or read book International GAAP 2019 written by Ernst & Young LLP and published by John Wiley & Sons. This book was released on 2018-12-21 with total page 5328 pages. Available in PDF, EPUB and Kindle. Book excerpt: International GAAP® 2019 is a comprehensive guide to interpreting and implementing International Financial Reporting Standards (IFRS), setting IFRS in a relevant business context and providing insights into how complex practical issues should be resolved in the real world of global financial reporting. This book is an essential tool for anyone applying, auditing, interpreting, regulating, studying or teaching IFRS. Written by EYs financial reporting professionals from around the world, this three-volume guide to reporting under IFRS provides a global perspective on the application of IFRS. Complex technical accounting issues are explained clearly and IFRS is set in a practical context with numerous worked examples and hundreds of illustrations from the published financial reports of major listed companies from around the world. The 2019 edition of International GAAP® has been fully revised and updated in order to: • Continue to investigate the many implementation issues arising as entities adopt IFRS 9 (Financial Instruments) and IFRS 15 (Revenue from Contracts with Customers). • Explore the complex implementation issues arising as entities adopt, in 2019, IFRS 16 (Leases). • Include an updated chapter on the new insurance contracts standard IFRS 17 (Insurance Contracts), which reflects the recent discussions of the IASB’s Transition Resource Group on implementation issues raised, proposed narrow-scope amendments to IFRS 17 intended by the IASB, and also explores other matters arising as users prepare for the adoption of this standard. • Include an amended chapter on the revised Conceptual Framework, which was published in March 2018. The changes to the Conceptual Framework may affect the application of IFRS in situations where no standard applies to a particular transaction or event. • Address amended standards and new interpretations issued since the preparation of the 2018 edition. • Explain the many other initiatives that are currently being discussed by the IASB and by the IFRS Interpretations Committee and the potential consequential changes to accounting requirements. • Provide insight on the many issues relating to the practical application of IFRS, based on the extensive experience of the book’s authors in dealing with current issues.

The Bogleheads' Guide to Investing

Author : Taylor Larimore
Publisher : John Wiley & Sons
ISBN 13 : 0471779210
Total Pages : 335 pages
Book Rating : 4.4/5 (717 download)

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Book Synopsis The Bogleheads' Guide to Investing by : Taylor Larimore

Download or read book The Bogleheads' Guide to Investing written by Taylor Larimore and published by John Wiley & Sons. This book was released on 2006-04-20 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt: Within this easy-to-use, need-to-know, no-frills guide to building financial well-being is advice for long-term wealth creation and happiness, without all the worries and fuss of stock pickers and day traders.