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Total Return, Duration and Convexity
Return, Duration and Convexity In writing this note on the relationship between total return, duration and ... intent to produce a better understanding of Redington's theory of immunization. From Actuarial Research ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Option Bounds in Discrete Time with Transaction Costs
framework with transaction costs. The model represents an extension of the Cox-Ross-Rubinstein binomial option ... to cover the case of proportional transaction costs. The method proceeds by constructing the appropriate ...- Authors: Phelim Boyle, Ton Vorst
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Design and Pricing of Home Equity Line of Credit Insurance
Pricing of Home Equity Line of Credit Insurance This paper presents the application of the asset share ... share technique of pricing to Home Equity Line of Credit insurance. The paper's objective is to provide ...- Authors: Marina Adelsky
- Date: Jun 1990
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Life Insurance>Pricing - Life Insurance
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Mean-Variance Investment and Risk Control Strategies: A New Time-Consistent Formulation
Mean-Variance Investment and Risk Control Strategies: A New Time-Consistent Formulation This abstract ... considers an optimal investment and risk control problem for an insurer under the mean-variance criterion. 4/1/2021 ...- Authors: Yang Shen , Bin Zou
- Date: Apr 2021
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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A New Approach to Duration
new approach of calculating duration by taking a portfolio perspective utilizing the idea of internal rate ... rate of return. It is presumed the user has a model for projecting cash flows under different interest ...- Authors: Merlin F Jetton
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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Ruin Theory Beyond Chapter 12
Ruin Theory Beyond Chapter 12 This is a summary of the talk given at the 27th Actuarial ... Theory Beyond Chapter 12 This is a summary of the talk given at the 27th Actuarial Research Conference regarding ...- Authors: Hans U Gerber
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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Modeling Home Equity Conversion Mortgages
Mortgages Many seniors who own houses in the United States have most of their wealth in their houses. Home ... approach used to estimate the amount of a level-payment annuity payable as long as the senior is alive and ...- Authors: Thomas Herzog, THERESA R DVENTI
- Date: Jan 1990
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Payout annuities; Finance & Investments; Modeling & Statistical Methods>Stochastic models
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A Geometric Approach to Exact Solutions in Finance and Actuarial Science
formulae. The conclusion is that for Gaussian interest rate models we can solve the problem of an American ... American option provided the option holder behaviour can be described by a force of option exercise which ...- Authors: Application Administrator
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Interest , Amortization and Simplicity
discusses simple interest, amortization and simplicity. The author asserts that compound interest is an improvement ... improvement upon simple interest that makes the calculation of interest simpler. Likewise, exponential amortization ...- Authors: Thomas More Zavist
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments