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Stochastic Simulation for C3 Risk:A Statistical Review
2003, the American Academy of Actuaries Life Capital Adequacy Subcommittee LCAS published a set of 10,000 ... scenarios that was intended to be used to support the publication, “Recommended Approach for Setting Regulatory ...- Authors: Richard Wendt
- Date: Feb 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
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Beware stochastic model risk!
Beware stochastic model risk! The article warns against treating the results of a stochastic model with more ... describes some hidden risks involved with choice of model and calibration. Statistical methods 9/17/2019 ...- Authors: Stephen Strommen
- Date: Sep 2019
- Competency: Professional Values; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
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GMDB Pricing:Comparing a Lognormal Model to a Regime-SwitchingLognormal Model
Regime-Switching Model of Long-Term Stock Returns” appears in the April 2001 issue of the North American Actuarial ... equity price movements than the often-used lognormal model. The purpose of this article is to apply a ...- Authors: Robert Stone
- Date: Oct 2002
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Stochastic Model: A Telescope or Kaleidoscope?
Kaleidoscope? The author notes “a telescope and a kaleidoscope both provide a view but that is where the similarities ... pieces of glass. This article will analyze which analogy is closer to the stochastic modeling of interest ...- Authors: Vivek Gupta
- Date: Feb 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Global Perspectives>Global markets; Modeling & Statistical Methods>Stochastic models
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Short Cuts: Easy Yield Curve Fit
cuts, rules of thumb, estimators, modeling tips, etc. The featured problem is fitting the intermediate ... intermediate points for a real-world stochastic model of interest rates. Discount rates=Interest rates;Yield curve=Term ...- Authors: Joseph Koltisko
- Date: Aug 2010
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models