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Symposium Proceedings
Table of Contents
Preface
Irwin T. Vanderhoof |
| Chapter 1 |
Risk in Investment Accumulation Products of Financial Institutions
Steven L. Craighead |
Seciton l: Market Failure/Castastrophe Market or Discountinuities
| Chapter 2 |
Comments on the 1987 Stock Market Crash: Eleven Years Later
Mark E. Rubinstein |
| Chapter 3 |
A Multifractal Walk Down Wall Street
Benoit B. Mandelbrot |
| Chapter 4 |
The Prediction of the Derivative Portfolio Price
Viktor G. Galochkin and Alexander G. Kukush |
| Chapter 5 |
What Went Wrong with the Highly Leveraged Deals? (Or, All Variety of Agency Costs)
Martin S. Fridson |
| Chapter 6 |
Portfolio Analysis of Financial Market Risks by Random Set Tools
Oleg Y. Vorob'ov , Arcady A. Novosyolov, Konstantin V. Simonov, and
Andrew Yu. Fomin |
| Chapter 7 |
Risks in Investment Accumulation Products: Insights from Investor Behavior
Nino J. Boezio |
Section ll: Effect of Distribution Channels on Policyholder Behavior and Persistency
| Chapter 8 |
A Model of Persistency Behavior for Internet Distribution Channels
Shane A. Chalke |
Section lll: Long-term Liabilities, Options, and Guarantees
| Chapter 9 |
Guarantees of Long-Term Interest Rates
Irwin T. Vanderhoof |
| Chapter 10 |
Analyzing Interest-Rate Guarantees with the Double Mean Reverting Process ™
Mark S. Tenney |
| Chapter 11 |
Maturity Guarantees for Segregated Fund Contracts: Hedging and Reserving
Mary R. Hardy |
Section IV: Transfer Risk Models
| Chapter 12 |
Risk and Policyholder Behavior in Separate Account Products
David N. Becker |
Section V: Practical Aspects of Managing an Annuity Block
| Chapter 13 |
The Practical Aspects of Managing Annuity Blocks of Business
Bruce J. Crozier |
| Chapter 14 |
Regulatory Considerations for Accumulation Products
Donna R. Claire |
| Chapter 15 |
Option Pricing in Action: The Case of the SPDA
Anson J. Glacy, Jr. |
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