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Author:
A D Wilkie; M P Owen; H R Waters
Source:
British Actuarial Journal [BAJ] (2005) 11(2): 199-312

Notes on options, hedging, prudential reserves and fair values

In this paper we present many investigations into the results of simulating the process of hedging a vanilla option at discrete times. We consider mainly a `maxi' option (paying Max(A, B)), though calls, puts and `minis' are also considered. We show the ... read more >>

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Author:
I Iqbal
Source:
British Actuarial Journal [BAJ] (2005) 11(1): 133-182

Effective decision making in a life company

In the recent past life companies have made many decisions which they have had cause to deeply regret. This paper looks at the range of decision making theories available. It then examines recent examples of decisions that had unfavourable consequences ... read more >>

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Author:
A C L Dyson; J Exley
Source:
British Actuarial Journal [BAJ] (1995) 1(3): 471-557

Pension fund asset valuation and investment

The theoretical basis for, and practical application of, the discounted income method for valuing UK pension fund assets is discussed, with particular reference to the widely adopted application to variable income (equity type) assets, as proposed by ... read more >>