DGAPSDesign of Generic and Adaptive Protocol Software
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References in periodicals archive ?
To measure/manage the interest rate risk, a life insurer usually has to calculate its DGAP that in turn demands the calculations of asset durations and liability durations.
Hedging a specific asset or liability is called microhedging while hedging the entire balance sheet DGAP is called macrohedging.
Some readers may view expected premiums as assets and payments as liabilities and thus regard our calculation as surplus duration or DGAP. This view is inconsistent with the definition of the policy reserve that includes expected premiums to be a part of the reserve liability (see Black and Skipper, 2000, pp.