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Multivariate Immunization Theory
Letting r(s, t) denote the rate used to discount cash flows from time t to time s, or the implied (t-s)-period ... at time s, where 0<s<t, we have that: [1 + r(0,t)] -t = [1 + r(0,s)] -s [1 + r(s,t)] -<t-s). Hence ...- 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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A Multivariate Approach to Duration Analysis
involving the force of interest, Ot', the force of mortality. The various approximation formulas are also ... formulas can produce estimates which a~-e orde~'s of magnitude in erro~'. As part of the analysis ...- 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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Asset Modeling Concepts
rates. Recall that correlations are part of ASOP 7's recommended practice on internal consistency. ... (EIAs), particularly with indexes other than the S&P 500. Chart 1 is similar to a tool I use to evaluate ...- Authors: Henry M McMillan, Harry Jamison, David M Walczak
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Asset modeling
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Asset Modeling Best Practices in the Current Environment
considering the low interest rate environment. The Academy’s Life Practice Council and Life Valuation Committee ... financial reporting actuaries practicing in today’s very low interest rate environment. As the scrutiny ...- 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
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Asset Modeling Concepts
Copyright © 2003, Society of Actuaries Note: The chart(s) referred to in the text can be found at the end of ... gained its independence and eventually became a U.S. state. We know who Davy Crockett is. Sam Houston ...- Authors: Scott Houghton
- Date: Sep 2002
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Asset modeling
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Immunization Theory: A Simplified Example
L( 6) = r; vt FO(t)dt. S( 6): Surplus valued at force of interest 6, S(6) = A(6) - L(6). TO minimize ... minimize the effect of interest rate change on S(6), an investment portfolio is sought such that at the ...- 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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Measuring Collateralized Mortgage Obligation Cash-Flow Variability: Regulatory Developments
Measuring Collateralized Mortgage Obligation Cash-Flow Variability: Regulatory Developments ... description of the scenario selection process that's used in this model. 4. The prepayment assumptions ...- Authors: David A Hall, Andrew S Davidson, Christopher T Anderson, Michael H Siegel
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Public Policy
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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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Modeling CMOs
and should become a part of Insurers?” by Andrew S. Chow, which an investment management agreement thoroughly ... the administrative system to work on January 1, 2000. Valuation and cash-flow testing of equity-indexed ...- Authors: DALE ALLEN HALL
- Date: May 1998
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Small Talk
- Topics: Finance & Investments; 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
gain tail [3]. Richard Bookstaber and David Jacob [S] studied total return over five years for different ... Specifications and Assumptions l Single-Premium Deferred Annuity l Projecting a single block of new issues l 5 ...- 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