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A One-Factor Interest Rate Model and the Valuation of Loans with Prepayment Provisions
A One-Factor Interest Rate Model and the Valuation of Loans with Prepayment Provisions This paper ... used to calculate the option value. Once again, care 292 TRANSACTIONS, VOLUME XLVI has to be exercised ...- Authors: Michael Sherris
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value
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Option Pricing by Esscher Transforms
Option Pricing by Esscher Transforms This paper shows that the Esscher transform is an efficient ... bottom of page 103. Back and Pliska consider the care for which the state space is infinite. They remark ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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On the Application of the Wilkie Model to the TSX Price Index
On the Application of the Wilkie Model to the TSX Price Index For insurance companies, modeling ... assumption, and lower percentiles are just what we care about. Therefore when we compare the results of ...- Authors: Chao Qiu
- Date: Jul 2007
- Competency: Technical Skills & Analytical Problem Solving
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Loss Models, From Data To Decisions, Fifth Edition
Loss Models, From Data To Decisions, Fifth Edition Read an excerpt from Loss Models, From ... the likelihood function will continue to increase. Care must be taken when maximizing this function because ...- Authors: Society of Actuaries
- Date: Jul 2017