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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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Stochastic Modeling in the Financial Reporting World
Stochastic Modeling in the Financial Reporting World This session of the SOA 2003 Washington, DC Spring ... Spring Meeting covers the basics of stochastic modeling with focus on random number and scenario generation ...- Authors: Robert W Wilson, Ronald Harasym
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- 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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Corporate Models and Assumptions
discussion considers some of the approaches, techniques and problems in the development of corporate models and ... assumptions. The pros and cons of buying versus developing models was discussed and the use of deterministic ...- Authors: Allan Affleck, Robert A Lyle, Kihong Sung
- Date: Mar 1977
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Deterministic models; Modeling & Statistical Methods>Forecasting; 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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Need for Speed: How to optimize models for maximal run efficiency
crystal-clear balance roll-forward on time, obtaining a fresh model output the first time or providing model ... partners with a tight turnaround all depend on one thing: how fast the model engine runs. Authors explored various ...- Authors: Housseine Essaheb
- Date: May 2019
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: CompAct
- Topics: Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models; Technology & Applications>Automation
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A Handful of Economic Capital Model Observations
A Handful of Economic Capital Model Observations Commentary on practical observations resulting from ... standardization of assumptions and result interpretation are morphing even though use of E.C. models has ...- Authors: David M Walczak
- Date: Nov 2019
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Stochastic models
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Actuarial Sciences and Uncertainties
article the author cautions against the temptation to extend stochastic modeling into areas of unpredictable ... and probabilities. He challenges actuaries to rely on their own judgment. Behavioral economics;Demogr ...- Authors: Francisco Bayo
- Date: May 1988
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Actuarial Profession; 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
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Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australian Data
for Australian Data The main aim of this paper is to apply some of the techniques of modern time series ... investment data in order to better understand the nature of long run relationships in investment series ...- Authors: Michael Sherris, Ben Zehnwirth, Leanna Tedesco
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models