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Author:
Viktor Mirkin
Source:
Finance, Investment and Risk Management Conference 2008

SWAPS and SWAPTIONS Interest rate risk exposures

1 FINANCE, INVESTMENT & RISK MANAGEMENT CONFERENCE 15-17 JUNE 2008 HILTON DEANSGATE, MANCHESTER SWAPS and SWAPTIONS Interest Rate Risk Exposures Viktor Mirkin vmirkin@deloitte.co.uk 17 JUNE 2008 HILTON DEANSGATE, MANCHESTER Outline ?Cash flow ... read more >>

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Author:
Cormac Bradley
Source:
Finance, Investment and Risk Management Conference 2008

When theory and practice are not always the same. Earning Libor on cash is easy - isn't it?

Presentation Title Tuesday, 10 June 2008 1 © 2008 Towers Perrin When theory and practice are not always the same Earning Libor on cash is easy – isn’t it? © 2008 Towers Perrin 2 Agenda ? Case study - pension fund de-risking ? The challenge to ... read more >>

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Author:
David Cule
Source:
Finance, Investment and Risk Management Conference 2008

The market value of pension liabilities (handouts)

1 FINANCE, INVESTMENT & RISK MANAGEMENT CONFERENCE 15-17 JUNE 2008 HILTON DEANSGATE, MANCHESTER The market value of pension liabilities ? What is the “correct” way to price a defined benefit pension obligation? ? Do all market participants ... read more >>

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Author:
Martin Weale
Source:
Finance, Investment and Risk Management Conference 2008

Annuities and aggregate morality risk: mountains out of molehills (handouts)

1 FINANCE, INVESTMENT & RISK MANAGEMENT CONFERENCE 15-17 JUNE 2008 HILTON DEANSGATE, MANCHESTER Annuities and Aggregate Mortality Risk: Mountains out of Molehills “Even actuaries recognize that longer life is a good thing – but, to the extent ... read more >>

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Author:
Ralph Frankland; Andrew Smith
Source:
Finance, Investment and Risk Management Conference 2008

Extreme events deriving tail probabilities for economic distributions relevant to individual capital assessents

EXTREME EVENTS DERIVING TAIL PROBABILITIES FOR ECONOMIC DISTRIBUTIONS RELEVANT TO INDIVIDUAL CAPITAL ASSESSMENTS Ralph Frankland and Andrew Smith Members of the LPEC Benchmarking Stochastic Models Working Party Extreme Events A game of two halves: ... read more >>

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Author:
Jon Palin; Nick Silver; Andrew Slater; Andrew Smith
Source:
Finance, Investment and Risk Management Conference 2008

Complexity economics. Application and relevance to actuarial work

Complexity Economics Application and Relevance to Actuarial Work A Report from the Agent-Based Modelling Working Party Jon Palin Nick Silver Andrew Slater Andrew D Smith Introduction The purpose of this paper is to introduce the ... read more >>

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Author:
Seamus Creedon; Iain Forrester; Parit Jakhria; Malcolm Kemp; Antoon Pelsser; Andrew Smith; Colin Wilson
Source:
Finance, Investment and Risk Management Conference 2008

Market consistent discounting. Interim report of the Market Consistent Valuation Working Party

Market Consistent Discounting Interim report of the Market Consistent Valuation Working Party to the Finance, Investment and Enterprise Risk Management Conference. June 2008. Working party members Seamus Creedon (chair) Iain Forrester Parit ... read more >>

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Author:
Alexander J McNeil
Source:
Finance, Investment and Risk Management Conference 2008

Economic capital models for Basel/Solvency II, Pillar II

Economic Capital Models for Basel/Solvency II, Pillar II Alexander J. McNeil Department of Actuarial Mathematics and Statistics Heriot-Watt University, Edinburgh A.J.McNeil@hw.ac.uk www.ma.hw.ac.uk/∼mcneil FIRM Conference 2008 ... read more >>

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Author:
Paul Stanworth; Ray Bennett; Tom Durkin; Paul Fulcher; Loveday Madzika; Sen Nagarajan;
Source:
Finance, Investment and Risk Management Conference 2008

How valuable is liquidity? Working Party Paper

Liquidity Working Party How Valuable is Liquidity? Working Paper May 2008 Working Party Members: Paul Stanworth (Chair) Ray Bennett Tom Durkin Paul Fulcher Loveday Madzika Sen Nagarajan Presented: FIERM Conference June 2008 Life ... read more >>

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Author:
Andreas Milidonis
Source:
Finance, Investment and Risk Management Conference 2008

Catastrophe risk financing under changes in hurricane activity (handouts)

1 FINANCE, INVESTMENT & RISK MANAGEMENT CONFERENCE 15-17 JUNE 2008 HILTON DEANSGATE, MANCHESTER “Catastrophe Risk Financing Under Changes in Hurricane Activity” & “Current Research at Manchester Accounting and Finance Group” Andreas ... read more >>