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Actuaries and Derivatives

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  • Kemp, M.H.D.

Abstract

This paper draws analogies between techniques used to reserve for, control and manage derivatives and techniques used by actuaries in other fields. It concentrates on equity derivatives. It also includes a review of the factors which significantly influence the appropriate size of reserves to hold for a derivatives portfolio. These include the likelihood of market jumps, uncertainty in future market volatility and the size of transaction costs, as well as on more obvious factors like position risk.

Suggested Citation

  • Kemp, M.H.D., 1997. "Actuaries and Derivatives," British Actuarial Journal, Cambridge University Press, vol. 3(1), pages 51-180, April.
    • Handle: RePEc:cup:bracjl:v:3:y:1997:i:01:p:51-180_00
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    Cited by:

    1. Muermann, Alexander, 2002. "Pricing catastrophe insurance derivatives," LSE Research Online Documents on Economics 24904, London School of Economics and Political Science, LSE Library.
    2. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
    3. Krzysztof Burnecki & Mario Nicoló Giuricich, 2017. "Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing," Risks, MDPI, vol. 5(4), pages 1-19, December.
    4. Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew, 2019. "Valuation of contingent convertible catastrophe bonds — The case for equity conversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 238-254.
    5. Têtu Alexandre & Lai Van Son & Soumaré Issouf & Gendron Michel, 2015. "Hedging Flood Losses Using Cat Bonds," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 9(2), pages 149-184, July.
    6. Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2015. "Alternative Risk Transfer and Insurance-Linked Securities: Trends, Challenges and New Market Opportunities," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 56, number 56.
    7. Simone Severini & Cinzia Zinnanti & Valeria Borsellino & Emanuele Schimmenti, 2021. "EU income stabilization tool: potential impacts, financial sustainability and farmer’s risk aversion," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 9(1), pages 1-21, December.

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