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Layering Your Own Views into a Stochastic Simulation - Without a Recalibration
Layering Your Own Views into a Stochastic Simulation - Without a Recalibration Provides a metric based on the concept of "entropy" from information theory/signal processing, for ...- Authors: Tony Dardis, Loic Grandchamp-Desraux, David Antonio
- Date: Aug 2013
- 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 Simulation for C3 Risk:A Statistical Review
Stochastic Simulation for C3 Risk:A Statistical Review In 2003, the American Academy of Actuaries Life Capital Adequacy Subcommittee LCAS published a set of 10,000 stochastic scenarios that was ...- 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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What Makes an Economic Scenario Generator "Realistic"?
What Makes an Economic Scenario Generator "Realistic"? Explains considerations for stochastic modeling of credit spreads, inflation and exchange rate risk. credit risk;foreign ...- Authors: Jonathan Mossman
- Date: Aug 2015
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
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Attention Life Insurance Actuaries! Standard & Poor’s Needs You and C-3 Phase II for its Insurance Capital Model
Attention Life Insurance Actuaries! Standard & Poor’s Needs You and C-3 Phase II for its Insurance Capital Model In it’s insurance capital model, Standard & Poor’s Ratings Services ...- Authors: Gregory Gaskel, David Ingram
- Date: Feb 2008
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Annuities>Variable annuities; Modeling & Statistical Methods>Stochastic models
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Stochastic Volatility And Option Pricing
Stochastic Volatility And Option Pricing Feature article discussing the use of stochastic volatility models in the pricing of investments and options. Asset valuation;Markov Chain; 11067 2/1/2010 ...- Authors: Daniel Dufresne
- Date: Feb 2010
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models