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  • The Matching of Assets and Liabilities
    The Matching of Assets and Liabilities This paper investigates how the concepts of asset-liability matching ... Transactions of Society of Actuaries 1980, Vol. 32. Yield curve=Term structure;Interest rate risk;Investment ...

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    • Authors: James A Tilley
    • Date: Jan 1980
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Transactions of the SOA
    • Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods
  • Probabilistic Concepts in Measurement of Asset Adequacy
    Measurement of Asset Adequacy This paper presents the probabilistic concepts underlying measurement of asset ... simplified way. Discussions of this paper are included. Catastrophic risk;Risk-based capital=RBC;Statutory ...

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    • Authors: Donald D Cody
    • Date: Oct 1988
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Transactions of the SOA
    • Topics: Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Asset liability management
  • Multivariate Duration Analysis
    depend on a mathematical formulation of the way in which a yield curve moves. A discussion of the paper ... paper follows. From Transactions of Society of Actuaries 1991, Vol. 43. Analytics and informatics;Asset ...

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    • Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
    • Date: Oct 1991
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Transactions of the SOA
    • Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
  • Multivariate Immunization Theory
    Immunization Theory This paper discusses extending the general nonparallel shift approach to duration analysis ... and explores the immunization model within the multivariate context. A discussion of the paper follows ...

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    • Authors: Robert Reitano, Elias Shiu
    • Date: Oct 1991
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Transactions of the SOA
    • Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
  • A Multivariate Approach to Immunization Theory
    Approach to Immunization Theory The author previously wrote about extending the general nonparallel shlft approach ... duration analysis. This paper explores the immunization properties of that model. In addition, applications ...

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    • Authors: Robert Reitano
    • Date: Aug 1990
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Actuarial Research Clearing House
    • Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods
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