1,165 research outputs found
Monte Carlo simulation approaches to the valuation and risk management of unit-linked insurance products with guarantees
With the introduction of the Solvency II regulatory framework, insurers face the
challenge of managing the risk arising from selling unit-linked products on the market.
In this thesis two approaches to this problem are considered:
Firstly, an insurer could project the value of their liabilities to some future time using
Monte Carlo simulation in order to reserve adequate capital to cover these with a
high level of confidence. However, the complex nature of many liabilities means that
valuation is a task requiring further simulation. The resulting `nested-simulation' is
computationally inefficient and a regression-based approximation technique known
as least-squares Monte Carlo (LSMC) simulation is a possible solution. In this thesis,
the problem of configuring the LSMC method to efficiently project complex insurance
liabilities is considered. The findings are illustrated by applying the technique
to a realistic unit-linked life insurance product.
Secondly, an insurer could implement a hedging strategy to mitigate their exposure
from such products. This requires the calculation of market risk sensitivities
(or `Greeks'). For complex, path-dependent liabilities, these sensitivities are typically
estimated using simulation. Standard practice is to use a `bump and revalue'
method. As well as requiring multiple valuations, this approach can be unreliable
for higher order Greeks. In this thesis some alternative estimators are developed.
These are implemented for a realistic unit-linked life insurance product within an
advanced economic scenario generator model, incorporating stochastic interest rates
and stochastic equity volatility
Safety in Numbers: A strategy for cycling?
Jennifer Bonham, Stuart Cathcart, John Petkov and Peter Lum
Accounting History exhibits; Harry C. Bentley Collection at the Boston Public Library, May 15 through June 15, 1992
In honor of the 75th Anniversary of Bentley College, an exhibit of 40 books from The Harry C. Bentley Collection at the Boston Public Library (BPL) was held from May 15-June 15. The exhibit was coordinated by John Cathcart, archivist at Bentley College and Richard Vangermeersch, professor of accounting at the University of Rhode Island. They were joined by the coauthor of Harry C. Bentley\u27s two volume bibliography, Miss Ruth S. Leonard for a reception at the BPL on May 29. This exhibit was the first one from the Harry C. Bentley Collection housed at the library. In the photograph, the individuals are from left to right: unidentified, Richard Vangermeersch, John Cathcart, and Ruth Leonard
Internal velocity factors
Computer program analyzes the entries and planetary trajectories of space vehicles. It obtains the equivalence of altitude and flight path angle, respectively, to acceleration load factor with respect to velocity for a given inertial velocity
Concept definition study for recovery of tumbling satellites. Volume 1: Executive summary, study results
The first assessment is made of the design requirements and conceptual definition of a front end kit to be transported on the currently defined Orbital Maneuvering Vehicle (OMV) and the Space Transportation System Shuttle Orbiter, to conduct remote, teleoperated recovery of disabled and noncontrollable, tumbling satellites. Previous studies did not quantify the dynamic characteristics of a tumbling satellite, nor did they appear to address the full spectrum of Tumbling Satellite Recovery systems requirements. Both of these aspects are investigated with useful results
Concept definition study for recovery of tumbling satellites. Volume 2: Supporting research and technology report
A number of areas of research and laboratory experiments were identified which could lead to development of a cost efficient remote, disable satellite recovery system. Estimates were planned of disabled satellite motion. A concept is defined as a Tumbling Satellite Recovery kit which includes a modular system, composed of a number of subsystem mechanisms that can be readily integrated into varying combinations. This would enable the user to quickly configure a tailored remote, disabled satellite recovery kit to meet a broad spectrum of potential scenarios. The capability was determined of U.S. Earth based satellite tracking facilities to adequately determine the orientation and motion rates of disabled satellites
Mannitol in diuretic resistant nephrotic syndrome: a case report
A 6 year old presented with generalized oedema to Kagando hospital, Uganda, and was diagnosed with nephrotic syndrome. Despite treatment with a fluid restriction, prednisolone and furosemide, the oedema worsened and the weight increased. Mannitol was added to the treatment regime and the oedema improved. The patient was able to be discharged four days later without any diuretic therapy. The case highlights the use of mannitol in the treatment of diuretic resistant oedema with nephrotic syndrome. It provides an alternative therapy for the resource-poor setting to the expensive albumin-furosemide combination often used elsewhere
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