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The Cost of Mismatch in Stochastic Interest Rate Models
The Cost of Mismatch in Stochastic Interest Rate Models In a stochastic world consideration of only ... be dangerous. The aim of the present research is to study the computation of the cost of mismatch using ...- Authors: Michel Jacques, JEROME ZACCARI PANSERA
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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Stochastic Control Theory for Optimal Investment
paper illustrates the application of stochastic control methods in managing the risk associated with an ... We present the Hamilton-Jacobi-Bellman HJB equation and demonstrate its use in finding the optimal investment ...- Authors: MARITINA TOLEDO CASTILLO, Gilbert Parrocha
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Multivariate Stochastic Immunization Theory
a new theory of immunization is introduced in which the approach is multivariate, and the goal is stochastic ... stochastic in the sense of minimizing stochastic risk. Discussions of this paper are included. Portfolio ...- Authors: Robert Reitano
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Hedging Equity-Linked Products Under Stochastic Volatility Models
Actuarial Research Conference. Summarizes the Heston model, discusses hedging equity indexed annuities ... annuities, and provides numerical results of the Black-Scholes and Heston hedging strategies. Equity-indexed ...- Authors: Anne MacKay
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models