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Results of the Survey on Variable Annuity Hedging Programs for Life Insurance Companies
Results of the Survey on Variable Annuity Hedging Programs for Life Insurance Companies This paper, part of the Society of Actuaries [SOA} ‘Research Projects – Finance/Investment,’ presented by ...- Authors: Robert Reitano, Charles L Gilbert, Kannoo Ravindran
- Date: Jan 2007
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Multivariate Duration Analysis
Multivariate Duration Analysis In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. A ...- 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 Stochastic Immunization Theory
Multivariate Stochastic Immunization Theory With this paper, a new theory of immunization is introduced in which the approach is multivariate, and the goal is stochastic in the sense of ...- Authors: Robert Reitano
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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COURSE 230 LIGHT- A LESS FILLING OVERVIEW OF THE FELLOWSHIP EXAM ON PRINCIPLES OF ASSET-LIABILITY MANAGEMENT
COURSE 230 LIGHT- A LESS FILLING OVERVIEW OF THE FELLOWSHIP EXAM ON PRINCIPLES OF ASSET-LIABILITY MANAGEMENT 1994 SOA Spring Meeting, Orlando. This teaching session introduced Course 230 to ...- Authors: Robert Reitano, Judy L Strachan, Gordon E Klein
- Date: Apr 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Asset liability management
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Multivariate Immunization Theory
Multivariate Immunization Theory This paper discusses extending the general nonparallel shift approach to duration analysis developed previously and explores the immunization model within the ...- 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