Table of Contents
Symposium Proceedings
Preface - Irwin T. Vanderhoof
Chapter 1 Risk in Investment Accumulation Products of Financial Institutions - Steven L. Craighead
Section l: Market Failure/Castastrophe Market or Discountinuities
Chapter 2 Comments on the 1987 Stock Market Crash: Eleven Years Later - Mark E. Rubinstein
Chapter 3 A Multifractal Walk Down Wall Street - Benoit B. Mandelbrot
Chapter 4 The Prediction of the Derivative Portfolio Price - Viktor G. Galochkin and Alexander G. Kukush
Chapter 5 What Went Wrong with the Highly Leveraged Deals? (Or, All Variety of Agency Costs) - Martin S. Fridson
Chapter 6 Portfolio Analysis of Financial Market Risks by Random Set Tools - Oleg Y. Vorob'ov , Arcady A. Novosyolov, Konstantin V. Simonov, and Andrew Yu. Fomin
Chapter 7 Risks in Investment Accumulation Products: Insights from Investor Behavior - Nino J. Boezio
Section ll: Effect of Distribution Channels on Policyholder Behavior and Persistency
Chapter 8 A Model of Persistency Behavior for Internet Distribution Channels - Shane A. Chalke
Section lll: Long-Term Liabilities, Options, and Guarantees
Chapter 9 Guarantees of Long-Term Interest Rates - Irwin T. Vanderhoof
Chapter 10 Analyzing Interest-Rate Guarantees with the Double Mean Reverting Process ™ - Mark S. Tenney
Chapter 11 Maturity Guarantees for Segregated Fund Contracts: Hedging and Reserving - Mary R. Hardy
Section IV: Transfer Risk Models
Chapter 12 Risk and Policyholder Behavior in Separate Account Products - David N. Becker
Section V: Practical Aspects of Managing an Annuity Block
Chapter 13 The Practical Aspects of Managing Annuity Blocks of Business - Bruce J. Crozier
Chapter 14 Regulatory Considerations for Accumulation Products - Donna R. Claire
Chapter 15 Option Pricing in Action: The Case of the SPDA - Anson J. Glacy, Jr.
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