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Modeling Function: To Centralize or Not To Centralize?
In reaction to a spate of model conversion activity and rising acceptance of model risk management techniques ... techniques, many companies have, or are in the process of centralizing their modeling function to accommodate ...- Authors: Joshua Chee, Sean Hayward, Michael Porcelli
- Date: Aug 2017
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Asset modeling
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Realized Return Optimization. A New Approach to Liability Funding
Realized Return Optimization. A New Approach to Liability Funding This presentation outlines ... bonds and presents the advantages of liability driven investing. From the Actuarial Research Clearing ...- Authors: Prakash A Shimpi
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Multivariate Duration Analysis
mathematical formulation of the way in which a yield curve moves. A discussion of the paper follows. From ... From Transactions of Society of Actuaries 1991, Vol. 43. Analytics and informatics;Asset valuation;Discount ...- 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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Modeling: Basic Training
liabilities in the Valuation Actuary's work to comply with the Standard Valuation Law. Comparisons of the methods ... occasionally made with the requirements of New York Regulation 126. Session 12 of the 1991 Valuation Actuary ...- Authors: Arnold Dicke, Meredith Ratajczak
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Reserves - Annuities; Health & Disability>Health insurance; Life Insurance>Reserves - Life Insurance; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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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
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General Assest Modeling Issues
session from the 1994 Valuation Actuary Symposium focuses on the modeling of assets and the problems and ... modeling;Deterministic models;Investment strategy;Market value of assets;Stochastic models;Yield curve=Term structure; ...- Authors: Martin Klein, Thomas W Reese
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Asset modeling
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Immunization Theory: A Simplified Example
Simplified Example This provides a basic example of a mathematical model which may be used to build an ... an investment portfolio which will minimize the risk of interest rate fluctuations. Interest rate risk; ...- Authors: James C Hickman, LORI LYNN SCHUMACHER, DAVID C WU
- Date: Jan 1983
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling
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A Multivariate Approach to Duration Analysis
that does not depend on a mathematical formulation of the way in which a yield curve moves. Consequently ... practical and relatively easy to apply. From the Actuarial Research Clearing House ARCH 1989 Vol.- Authors: Robert Reitano
- Date: Jan 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- 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
C-1 Task Force Report - A Cash-Flow Scenario Methodology for C-1 Risk: Preliminary ... 'default risk' for fixed-income assets in the context of asset/liability management. This approach utilizes ...- 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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Asset Modeling Best Practices in the Current Environment
Asset Modeling Best Practices in the Current Environment Asset cash flow modeling and asset assumptions ... with PBR especially considering the low interest rate environment. The Academy’s Life Practice Council ...- Authors: Marc Altschull, Daniel B Finn, Frederick J. Hill, Patrick Ledlee
- Date: Aug 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods; Modeling & Statistical Methods>Asset modeling