Annuities-certain at linearly decreasing rates of interest
نویسندگان
چکیده
منابع مشابه
Impact of Stochastic Interest Rates and Stochastic Volatility on Variable Annuities
With the success of variable annuities, insurance companies are piling up large risks in terms of both equity and fixed income assets. These risks should be properly modeled as the resulting dynamic hedging strategy is very sensitive to the modeling assumptions. The current literature has been largely focusing on simple variations around Black-Scholes model with basic interest rates term struct...
متن کاملAdaptive PSO Algorithm With Non-Linearly Decreasing Inertia Weight
This paper proposes a modified particle swarm optimization method with non linearly decreasing inertia weight (MPSO-NDIW) and time varying acceleration coefficients. In this MPSO-NDIW method, proper control of the global exploration and local exploitation is done in finding the optimum solution efficiently. In the early stage, full range of search space is allowed for search by the PSO algorith...
متن کاملA Note on Foreign Exchange Interventions at Zero Interest Rates
This note uses a nonlinear structural vector autoregression model to empirically investigate the effectiveness of official foreign exchange (FX) interventions in an economy when interest rates are constrained to the zero level, based on Japanese data in the 1990s. The model allows us to estimate the effects of FX interventions operating through different channels. We find that FX interventions ...
متن کاملConducting Monetary Policy at Very Low Short-Term Interest Rates
Can monetary policy committees, accustomed to describing their plans and actions in terms of the level of a short-term nominal interest rate, find effective means of conducting and communicating their policies when that rate is zero or close to zero? The very low levels of interest rates in Japan, Switzerland, and the United States in recent years have stimulated much interesting research on th...
متن کاملMoney and Interest Rates
This study describes and reconciles two common, seemingly contradictory views about a key monetary policy relationship: that between money and interest rates. Data since 1960 for about 40 countries support the Fisher equation view, that these variables are positively related. But studies taking expectations into account support the liquidity effect view, that they are negatively related. A simp...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of the Staple Inn Actuarial Society
سال: 1948
ISSN: 0020-269X,0020-269X
DOI: 10.1017/s0020269x0000356x