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Update on Fair-Value Reporting
WAYNE S. UPTON, JR.t Recorder: J. PETER DURAN Summary: Initiatives are under way in the U.S. at the ... give us the first meaningful step. Mr. Wayne S. Upton Jr.: I have to start with the disclaimer that ...- Authors: J Duran, W Paul McCrossan, Robert Reitano, Wayne S Upton
- Date: Oct 1998
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Financial Reporting & Accounting>Fair value accounting
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Multivariate Duration Analysis
the upper limit of integration with s, say, then substituting s = 1 into the second-order Taylor expansion ... 0 0--N DN(io) = D~(io) - C~io), (4.6) 0 O-~s Dk(io) = Os(io) Dk(io) - Csk(io), (4.7) a O(io) ...- 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 Duration Analysis
for N and N', since D;, = l/2D N, and C;~ = 1/4C u by (3.3). To be uniquely defined, one can normalize ... the upper limit of integration with s, say, then substituting s= 1 into the second-order Taylor expansion ...- Authors: Robert Reitano
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Nonparallel Yield Curve Shifts and Convexity
have two continuous derivatives in the variable(s) in which they are expressed and that these price ... ranges were observed, as the percentile data in Table 1 demonstrate. While the distribution of the DN(0) ...- Authors: Robert Reitano
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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A Multivariate Approach to Immunization Theory
immunization properties of that model. In particular, resul~s are developed regarding directional immunization ... context of the immunization of a firm's or portfoli9'S net worth. That is, in pursuit of conditions under ...- Authors: Robert Reitano
- Date: Aug 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods