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Assessing Regime Switching Equity Return Models
Models The purpose of this paper is to help practitioners and regulators more accurately quantify the potential ... potential impact of market risk on insurance products with equity-linked guarantees. To this end, this ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Finance & Investments; Modeling & Statistical Methods
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Ruin Probability for a Short-Term Disability Model
disability model is developed, where the loss process is comprised of two processes: new claims process ... transitional probabilities are needed to model the transitions of this non-Markovian process. An approximating ...- Authors: R Keith Freeland
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability>Disability insurance; Modeling & Statistical Methods
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Regime-Switching Portfolio Replication
Regime-Switching Portfolio Replication This is the abstract on the paper on regime-switching portfolio replication ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Jul 2010
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Regime-Switching Portfolio Replication
guarantees. A prominent risk management challenge is hedging these guarantees, given the equity regime switching ... is used, which allows for the examination of the robustness of each of the optimization methods when ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Finance & Investments>Asset liability management; Modeling & Statistical Methods
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Econometric Models For Interest Rates
Econometric Models For Interest Rates This presentation estimates several models of interest rates, ... Rates This presentation estimates several models of interest rates, including seven without and four ...- Authors: R Keith Freeland
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models