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A New Approach to the Theory of Interest
32 A NEW APPROACH TO THE THEORY OF INTEREST S. DAVID PROMISLOW ABSTRACT This paper arose from ... manner. If S = (co, cl, . . . , cn), T = (do, dl, . . . , d,), and r is any real number, then S+T = (c0+d0 ...- Authors: S. Promislow
- Date: Jan 1980
- Competency: Results-Oriented Solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments
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An Expanded Financial Structure for Ordinary Dividends
formula, which explicitly involves interest, mortality, and expenses, I propose a structure in which ... vestment experience and reserve increase, (2) mortality experience, (3) renewal or maintenance expenses ...- Authors: Donald D Cody
- Date: Oct 1981
- Competency: Results-Oriented Solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments
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Real Time Delphi Study of Four Economic Variables
on two-, five- and 10- year forecasts for four U.S. economic variables 1. Annual increase in the ... Index (CPI) 2. 10-year Treasury spot yields 3. S&P 500 total rate of return 4. Corporate Baa spot ...- Authors: Theodore J Gordon
- Date: Jun 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Managing Investment Risks of Insurance Contractual Designs
Managing Investment Risks of Insurance Contractual Designs The Society of Actuaries’ Committee on Finance ... metrics, Risk modeling, Life insurance, variable annuity, withdrawals 5/28/2021 12:00:00 AM ...- Authors: Runhuan Feng
- Date: May 2021
- Topics: Experience Studies & Data; Finance & Investments; Finance & Investments>Investments
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Analysis of Asset Spread Benchmarks
Securities and US Government Agencies. The table below summarizes the distribution of invested asset ... in aggregate as “All Other Assets” in this table. Table 1 Asset Classification Percent Distribution ...- Authors: Society of Actuaries
- Date: Apr 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Life Insurance>Reserves - Life Insurance
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28th Annual Actuarial Research Conference Agenda
UniverCty of Waterloo, Ontado Measuring the Effect of U.S. Social Security Cash Benefits {OASDI) Funding ... Marker Chain A Twelve Parameter Model of Select Mortality Rates The Effect of Removing Cancer as a Cause ...- Authors: Society of Actuaries
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession; Finance & Investments
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Estimation of Stochastic Volatility Models by Simulated Maximum Likelihood Method
considered as a function of ρ(1). Liesenfeld and Jung (2000) shows using an empirical study that the SV-t model ... Aug. 1996 28 Aug. 1998 29 Aug. 2001 29 Aug. 2003 2000 2500 3000 3500 4000 4500 5000 5500 6000 ...- Authors: EUNJI CHOI
- Date: Jan 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Bounds on Expected Values of Insurance Payments and Option Prices
Bounds ... = inf[ I h(x) dFIx) : F ~ M(y) ] and i b U(h y) = sup{ h(x) dF(x) : F c ~l,(y) } where y denotes ... The best uigper bound for h(x) = min{x, d} is U(h I y) = q 0-2 d for O~dSkt -b_ ~ ~t(b + d) ...- Authors: Samuel Cox
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance
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Options on Bonds and Applications to Product Pricing
under universal life and single premium deferred annuity contracts. Options are also granted in the investment ... this conclusion are summarized in the following table. Call-Free Bond Prl,c Yield $101.45 12.74% ...- Authors: Robert P Clancy
- Date: Oct 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments
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Option Bounds in Discrete Time with Transaction Costs
period. 371 Su Su 2 S Sud Sd Sd2 where we assume that u > R > d, with R equal to one plus ... diagram we will construct the portfolio at the point S. In order to take the transaction costs into account ...- Authors: Phelim Boyle, Ton Vorst
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods