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Retirement Needs Framework, Chapter 9: Is Your Standard of Living Sustainable during Retirement? Ruin Probabilities, Asian Options, and Life Annuities
Retirement Needs Framework, Chapter 9: Is Your Standard of Living Sustainable during Retirement? ... and unconditional probability of ruin for an individual who wishes to consume a fixed periodic amount ...- Authors: Moshe Arye Milevsky, Christopher Robinson
- Date: Jan 2000
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Pensions & Retirement>Retirement risks
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Multivariate Duration Analysis
Multivariate Duration Analysis In this paper, a general multivariate duration analysis is introduced ... liability management=ALM;Asset modeling;Asset valuation;Statistical methods;Yield curve=Term structure; ...- Authors: Robert Reitano
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Validating a Liability Model
life insurance company's liabilities, such as valuation of blocks of in-force and new business (for embedded ... sheet) position produced by the model at the valuation date with the actual in-force position for the ...- Authors: Richard D Olswang
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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An Alternative Frequency Dependence Model and its Applications
observable. Wang (1998) provided examples where individual risks are correlated because the risks are ... be able to describe the marginal behavior of individual risk types and their dependence structure as ...- Authors: SHUBIAO LI
- Date: Mar 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Finance & Investments>Banking - Finance & Investments; Modeling & Statistical Methods
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Option Pricing by Esscher Transforms
results are rooted in the idea of risk-neutral valuation of Cox and Ross [24]. For an insightful introduction ... quantitatively some of the verbal statements in Table 17.1 of Hull's book [47, p. 438]. We thank Frangois ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Why the Current Practice of Operational Risk Management in Insurance is Fundamentally Flawed: Evidence From the Field
issue in this study. The following table summarizes the data. Table 1. Summary of operational loss data ... 3.94 4.08 4.03 4.33 The row # 3 in Table 1 suggests that there were seven months (denoted ...- Authors: Madhu Acharyya
- Date: Apr 2012
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Finance & Investments; Modeling & Statistical Methods
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Inference for Logistic-type Models for the Force of Mortality
to estimate the force of mortality from a life table, with µx+1/2 ∼= − ln(1− qx) = − ln px. (2) This ... px can be easily estimated by pˆx from a life table. This suggests the linear model ln ( − ln pˆx ...- Authors: Louis G Doray
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Modelling and Measuring Business Risk
worthwhile to recall some basic facts about company valuation, especially about the discounted-cashflow method ... Goedhart, M., T. Koller and D. Wessels, 2005, Valuation: Measuring and Managing the Value of Companies ...- Authors: Klaus Bocker
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods