Barrie & Hibbert

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Product Design & Governance

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2007

Sep 2007 A Comparison of Traditional Embedded Value and Market Consistent Embedded Value

Sep 2007 130/30 Funds: The Optimal Investment Solution?

Sep 2007 Projecting the TEV and MCEV

Aug 2007 Incorporating Modified Betas and Implied Volatilities in Child Equity Calibrations

Aug 2007 Defined Contribution Pension Saving: Part 2 -Managing Investment Choice in DC Pension Schemes

Jul 2007 Variable Annuity Style Investment Products

Jul 2007 Defined Contribution Pension Saving: Part 1 - Using Behavioural Economics to Promote Retirement Saving

2005

Apr 2005 Treating Customers Fairly - A Framework for Product Design and Targeting

2004

Aug 2004 Is There Predictive Value in Market Volatility Measures?

2003

May 2003 Beta Reliability

May 2003 Annuity Pricing Update

Mar 2003 Understanding the “Fairness” of FTSE Index Option Pricing

2002

May 2002 Understanding Investment Policy Choices for Individual Pension Plans: An Update

Mar 2002 Risk-Neutral Pricing of With-Profits Policies in the Presence of Contingent Bonuses

2001

Mar 2001 Some Basic Annuity Pricing Formula

Jan 2001 Comparison of Historic & Predicted Death Rates

2000

Jun 2000 Calibrating a Multivariate Model for Stock Specific and Portfolio Risk

1997

Jul 1997 Calculation of the IRR on a WP Policy Using Newton-Raphson

• Model
  • 2 Factor Black Karasinski Model
  • 2 Factor Vasicek Model
  • Constant Volatility Model
  • Credit Model
  • Equity Mean-Reversion Model
  • Exchange Rate Model
  • General Equity Model
  • Inflation Model
  • Libor Market Model
  • Local Volatility Model
  • Mortality Model
  • Mortgage-Backed Securities Model
  • Other Models
  • Stochastic Volatility & Jump Diffusion Model
  • Time-Varying Deterministic Volatility Model

• Asset Class
  • Alternative Assets
  • Credit
  • Joint Distribution
  • Exchange Rate / Currency
  • Derivatives
  • Equity
  • Inflation
  • Interest Rates
  • Property

• Product Areas
  • Capital Measurement
  • Product Communication & Advice
  • Product Design & Governance
  • Risk & Capital Management

• Sectors
  • Retail Distribution
  • Asset and Wealth Management
  • Consultancy
  • Insurance
  • Pension Fund

Other categories

• Calibration Methodology & Techniques
• Calibration Notes
  • Market Consistent
  • Real World
• Calibration Targets
  • Target Methodology
  • Target Updates
  • Target Validation
• Events
• Insights
• iESG
  • Version 6.2
• Monte Carlo Methodology
  • Correlation Matrices
  • Random Number Generation
  • Variance Reduction
• Numerical Methods
• Outputs & Validation
• Solvency II Sample Documentation
• Archive

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