The computation of various risk metrics is essential to the quantitative risk management of
variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation …

The purpose of this paper is to shed light on some of the flaws in the forecasting approach
undertaken by the pension industry. Specifically, it considers the treatment of inflation and …

The aim of this paper is to justify the use of constant mix investment strategies as an
approximation for periodically rebalanced investment strategies. In Dhaene et al.(2005) …

The financial position of a firm as disclosed by the balance sheet refers to its resources and
obligations, and the interest of its owners in the business and share capital refers to the …

The classical works in finance and insurance for modeling asset returns is the Gaussian
model. However, when modeling complex random phenomena, more flexible distributions …

The 2007–2009 financial crisis led to a decrease in consumer and investor confidence
worldwide (SARB, 2008: 2). Along with the weakened business sentiment and consumer …

This paper develops an analytical approximation for the distribution function of a terminal
value of a periodic series of buy-and-hold investments placed over a fixed time horizon for …