Actuaries and Derivatives

M.H.D. Kemp

British Actuarial Journal, 1997, vol. 3, issue 1, 51-180

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.

Date: 1997
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