Summary: 1/20
Chapter 6. Variable interest rates and portfolio insurance.
Manual for SOA Exam FM/CAS Exam 2.
Chapter 6. Variable interest rates and portfolio insurance.
Section 6.5. Asset­liability management.
c 2009. Miguel A. Arcones. All rights reserved.
Extract from:
"Arcones' Manual for the SOA Exam FM/CAS Exam 2,
Financial Mathematics. Fall 2009 Edition",
available at http://www.actexmadriver.com/
c 2009. Miguel A. Arcones. All rights reserved. Manual for SOA Exam FM/CAS Exam 2.
2/20
Chapter 6. Variable interest rates and portfolio insurance. Section 6.5. Asset­liability management.
Hedging
The money collected by insurance companies is invested and
subject to risk (possible losses). For example, bonds can drop in
value if the rate of interest changes. Several methods have being
developed to minimize the risk of investing. A method, often
sophisticated, employed to minimize investment risk is called
hedging. In this section, we study several hedging methods.

Source: Arcones, Miguel A. - Department of Mathematical Sciences, State University of New York at Binghamton

Collections: Mathematics