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Assessing Risk for Insurance Funded by Zero Coupons with Stochastic Interest Rates
time of an individual aged x. la~ = hazard function or force of mortality for an individual aged x. ... tP, = probability an individual aged x survives to x+t. gx(t) = density function of T,. = ~p~ lax÷ ...- Authors: H Tolley, HENRY CONRAD WURTS
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
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Home Equity Conversion Plans for the Elderly
291 Table of Contents 1. A Demographic Need for Home Equity Conversion Plans • Table 1 Income ... Mortgage • Table 2 Determination of Crossover Point 4. Risk Impact Upon Crossover Point • Table 3a Sensitivity ...- Authors: Giovanni DiMeo
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Pensions & Retirement>Retirement risks
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Representative Interest Rate Scenarios
for NY Regulation 126 and/or the new Standard Valuation Law (US) or Dynamic Solvency testing (Canada) ... create the initial curve. Table 1 shows the results for all 1000 scenarios and table 2 gives the results for ...- Authors: Sarah Christiansen
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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Dynamic Spanning of Contingent Claims
main focus of the literature dealing with the valuation of contingent claims is on characterising the ... that underlie the theory of contingent claims valuation then an understanding of the role that these ...- Authors: Hal Warren Pedersen
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Multiple Currency Option Selection Using Stochastic Constraints
respectively are, 11.5%, 8.5%, 7.0%, 10.0%, and 10.5%. Table 1. Call Option Quotes: Philadelphia Exch., Nov. ... are given as in Table 2. 5This will lead to a quadratic programming problem. Table 2. Binomial Lattice ...- Authors: David C Thurston, Kelly T Au, Joel R Barber
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments