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Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes
Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes Prior work indicates ... plausible set of extreme paths than do the usual stochastic interest rate models. Generalizing the Black-Karasinski ...- Authors: James Bridgeman
- Date: Dec 2007
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models
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Non-Life Insurance Claim Incurral, Accrual, and Reporting Analysis
Reporting Analysis This review summarizes the key features of a stochastic model that works with non-life ... reporting. More specifically it provides an overview of the claim model components, classical parameter estimators ...- Authors: James Robinson
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability>Health insurance; Modeling & Statistical Methods>Stochastic models
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A General Formula for Option Prices in s Stochastic Volatility Model
considers the pricing of European derivatives in a Black-Scholes model with stochastic volatility. The presentation ... cases. The main ingredient in this presentation's method is the Laplace transform of the ordinary ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Short Cuts: Easy Yield Curve Fit
cuts, rules of thumb, estimators, modeling tips, etc. The featured problem is fitting the intermediate ... intermediate points for a real-world stochastic model of interest rates. Discount rates=Interest rates;Yield curve=Term ...- Authors: Joseph Koltisko
- Date: Aug 2010
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models