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On The Moments Of Compound Interest Functions When Interest Varies As An AR[2] Process
On The Moments Of Compound Interest Functions When Interest Varies As An AR[2] Process It is assumed ... that the force of interest varies as an auto-regressive process of order 2, AR[2]. The moments of the ...- Authors: Colin M Ramsay
- Date: Jan 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Distribution of the Number of IBNR Claims
Distribution of the Number of IBNR Claims This paper proposes a model for the incurred but not reported ... reported - IBNR- claims of an insurance company. This model will be fit to third party automobile bodily ...- Authors: Louis G Doray
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability>Accident insurance; Modeling & Statistical Methods>Stochastic models
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The Mollification Analysis of Stochastic Volatility
The Mollification Analysis of Stochastic Volatility One of the most important problems in Finance is ... is the valuation of financial securities written on underlying assets whose prices are subject ...- Authors: Lijia Guo
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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The Valuation of Interest-Senstive Cash Flows Using the Symbolic Methed
The Valuation of Interest-Senstive Cash Flows Using the Symbolic Methed This paper introduces the symbolic ...- Authors: Matthew Clayton Modisett
- Date: Jan 1992
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Fixed annuities; Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Analysis of the Divergence Characteristics of Actuarial Solvency Ratios Under the Three Official Deterministic Projection Assumption Sets for the U.S. Social Security System
Analysis of the Divergence Characteristics of Actuarial Solvency Ratios Under the Three Official Deterministic ... Projection Assumption Sets for the U.S. Social Security System Annual reports of the U.S. Social Security Trustees ...- Authors: Kenneth G Buffin
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Insurance and Annuity Calculations in the Presents of Stochastic Interest Rates
Calculations in the Presents of Stochastic Interest Rates In computing actuarial measurements, such as the moments ... moments of present value functions for insurance and annuities, the stochastic nature of the interest rate ...- Authors: DALE S BOROWIAK
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Estimating Long-Term Returns in Stochastic Interest Rate Models
Models This paper addresses the evaluation of long-term returns when the short interest rate is modeled ... process. By deriving the long-term return dynamics and invoking the Feyman-Kac formula, the long-term return ...- Authors: Lijia Guo, Zenghui Huang
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Some Aspects of Statement of Financial Accounting Standards No. 87
Aspects of Statement of Financial Accounting Standards No. 87 This paper focuses on two aspects of SFAS ... 87. The first is the availability of the discount rate, and its consequences. The second is the corridor ...- Authors: Daniel Dufresne
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Pension accounting
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Portfolio Optimization in Corporate Models
Design and future maintenance of an asset portfolio backing a new line of business is critical for proper ... require the user to specify the asset and liability attributes and cash flows into the program. The programmer ...- Authors: William L Babcock, Steven Craighead
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Examining Changes in Reserves Using Stochastic Interest Models
Stochastic Interest Models This paper focuses on the fact that life and annuity reserves that are determined ... determined from discounted case flows mask the dynamic nature of interest rates. To study this effect in ...- Authors: Edward Frees, Siu-Wai Lai
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models