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Estimating Long-Term Returns in Stochastic Interest Rate Models
Models This paper addresses the evaluation of long-term returns when the short interest rate is modeled ... process. By deriving the long-term return dynamics and invoking the Feyman-Kac formula, the long-term return ...- Authors: Lijia Guo, Zenghui Huang
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Some Aspects of Statement of Financial Accounting Standards No. 87
Aspects of Statement of Financial Accounting Standards No. 87 This paper focuses on two aspects of SFAS ... 87. The first is the availability of the discount rate, and its consequences. The second is the corridor ...- Authors: Daniel Dufresne
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Pension accounting
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A Users Guide to the Inflation Generator
Users Guide to the Inflation Generator This is the User's Guide that accompanies the Inflation Generator ... associated with the research report entitled 'The Effect of Deflation or High Inflation on the Insurance ...- Authors: Stephen P D'Arcy, Kevin Ahlgrim
- Date: Feb 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Economics; Modeling & Statistical Methods>Stochastic models
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Long-Term Forecasting for Interest Rates
This paper develops a new technique, which allows the analyst to maximally use all thte historical interest ... process over long time periods. Instead, the process is comprised of stationary periods, each a few years ...- Authors: Application Administrator, Vladimir S Ladyzhets, Vladimir Cherepanov
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Stochastic models
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Model Efficiency Study Results Report
Report The Financial Reporting and Product Development Sections, along with the Committee on Life Insurance ... pleased to make the following report available. Prepared by Bruce Rosner of Ernst & Young, the report summarizes ...- Authors: Mark E Alberts, Mary J Bahna-Nolan, Susan Deakins, Trevor Howes
- Date: Nov 2011
- Competency: External Forces & Industry Knowledge
- Topics: Modeling & Statistical Methods>Stochastic models
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Portfolio Optimization in Corporate Models
Design and future maintenance of an asset portfolio backing a new line of business is critical for proper ... require the user to specify the asset and liability attributes and cash flows into the program. The programmer ...- Authors: William L Babcock, Steven Craighead
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Examining Changes in Reserves Using Stochastic Interest Models
Stochastic Interest Models This paper focuses on the fact that life and annuity reserves that are determined ... determined from discounted case flows mask the dynamic nature of interest rates. To study this effect in ...- Authors: Edward Frees, Siu-Wai Lai
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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A Uniform Asymptotic Estimate for Discounted Aggregate Claims with Sub exponential Tails
exponential Tails This paper studies the tail probability of discounted aggregate claims in a continuous-time ... renewal model. For the case that the common claim-size distribution is subexponential, the authors obtain ...- Authors: Xuemiao Hao, Application Administrator
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models
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An Analysis of Long-Term Care Data from Hamilton-Wentworth, Ontario
An Analysis of Long-Term Care Data from Hamilton-Wentworth, Ontario This paper presents some preliminary ... preliminary results of an analysis of data from a regional municipality in Ontario to assess long term care ...- Authors: Bruce Jones
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Experience Studies & Data>Long-term care - Experience Studies & Data; Modeling & Statistical Methods>Stochastic models
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Modeling Home Equity Conversion Mortgages
approach used to estimate the amount of a level-payment annuity payable as long as the person is alive and ... his/her house. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43 ...- Authors: Thomas Herzog, Tapen Sinha, Theresa R DiVenti, Application Administrator
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models