Term
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Definition
| Net Value of Business already written including current assets and liabilities |
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Term
| 3 ways to value Portfolio Equity |
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Definition
1) Book Value/Stat Surplus - Bonds discounted according to yields at purchase, Stocks at Market and Liabilities not at all
2) Current Value Surplus - Value all assets at current market values and liabilities on an undiscounted basis
3) Market Value Surplus - Value assets at Market values and Discounts liabilites to present value |
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Term
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Definition
| Represents to the value of business not yet booked, difficult to measure |
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Term
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Definition
| Dmvs = [Dmva*MVA - Dmvl*MVL]/MVS |
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Term
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Definition
| Defined as the amount which the duration of MVS exceed zero |
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Term
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Definition
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Term
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Definition
1) Duration Gap of Surplus
2) Duration Gap of Total Return
3) Duration Gap of Leverage |
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Term
| Unexpected Loss Development 3 strategies |
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Definition
1) Invest more heavily in Common Stocks/Real estate
2) Roll over assets frequently
3)Simply overstate liabilities (i.e.contigency reserves) |
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Term
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Definition
leverage = MVS/MVA
If both move the same amount when interest rates change, then immunized.
DGEL = DMVS - DMVA |
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