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C-3 Task Force Report - The Impact of C-3 Risk of Combining Lines of Business
C-3 Task Force Report - The Impact of C-3 Risk of Combining Lines of Business Case Study is used to ... based on combining products can reduce C-3 'interest rate' risk. Asset allocation;Risk modeling;Interest ...- Authors: Peter B Deakins
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling
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The Sensitivity of Cash-Flow Analysis to the Choice of Statistical Model for Interest Rate Changes
The Sensitivity of Cash-Flow Analysis to the Choice of Statistical Model for Interest Rate Changes This ... This paper explores some of the implications of rejecting the hypothesis that successive interest rate ...- Authors: Gordon E Klein
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Asset modeling
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C-1 Task Force Report - A Cash-Flow Scenario Methodology for C-1 Risk: Preliminary Report
Methodology for C-1 Risk: Preliminary Report Presents a way to study C-1 risk 'default risk' for fixed-income ... fixed-income assets in the context of asset/liability management. This approach utilizes cash flow projections ...- Authors: Joseph J Buff
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling
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The Risks in Equity Investment for Pension Funds
The Risks in Equity Investment for Pension Funds This paper examines the risks involved with equity ... investing for pension funds. From Transactions of Society of Actuaries 1959, Vol. 11, No. 31. Equities=Common ...- Authors: James L Clare, Sidney H Cooper, Harry M Sarason, Conrad Siegel, Frank L Griffin, Geoffrey N Calvert, John Dyer, Fergus J McDiarmid, Dennis N Warters, Wilmer A Jenkins, Harold R Lawson, William M. Rae, M. Albert Linton
- Date: Nov 1959
- Competency: External Forces & Industry Knowledge
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Asset modeling; Pensions & Retirement>Pension investments & asset liability management
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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 ...- 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
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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 ...- 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