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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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COURSE 230 LIGHT- A LESS FILLING OVERVIEW OF THE FELLOWSHIP EXAM ON PRINCIPLES OF ASSET-LIABILITY MANAGEMENT
development of all types of life insuranceand annuity products. He joined the Exam 230 Committee when ... are 90 required credits and 60 elective credits. Table 1 is a listing of the investment and finance examinations ...- 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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Immunization With Almost No Mathematics
grown rapidly; 41 are in prospect for 1981-82. Table I shows how our 1981-82 budget stacks up with results ... is avail- able in The Actuary, December 1981. Table II shows these figures adjusted for CPI changes ...- Authors: Irwin T Vanderhoof
- Date: Apr 1982
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Finance & Investments>Asset liability management
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New Frontiers in Assest/Liability Management
conduct an enumeration experiment, setting up a table of 11 x 11 which equals 121 outcomes for each combination ... and renewal crediting choices. Each entry in the table would be the expected profitability paired with ...- Authors: Anson Glacy, Frederick W Jackson, Douglas A George
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Management
international S O C I E T Y O F A C T U A R I E S futurism actuary of the future computer science ... Cliffs, NJ: Prentice-Hall, 1990. Basic Shiu, Elias S. W. “On Redington’s Theory of Immunization,” Insurance: ...- Authors: Society of Actuaries
- Date: Aug 1998
- Competency: Professional Values>Practice expertise; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management
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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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Asset/Liability Management
Habeck, ES,A. Curtis E. Huntington, ES.A. David S. Lee, ES,A. Society Staff Contacts Linda M. DelgadiLlo ... subject to editing. Submissions must be signed. A s s e t Cont'd. work with a range of scenarios and ...- Authors: Joseph J Buff
- Date: Dec 1987
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Finance & Investments>Asset liability management
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The Origins of Immunisation
Baker's death at age 94., his biographer, Professor S. Beatty, left us many happy sidelights on him and ... amounts spread over time (taking the rates of mortality, expense, tax, etc. as given) what is the condition ...- Authors: Frank M Redington
- Date: Jan 1982
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Finance & Investments>Asset liability management
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Are Genetic Algorithms Even Applicable to Actuaries?
6 | FORECASTING & FUTURISM JULY 2011 S everal professional fields are currently using genetic ... Complexity: A Guided Tour, Oxford University Press U.S. (2009). 7 Hull, John C., Options, Futures, and ...- Authors: Benjamin Steward Wadsley
- Date: Jul 2011
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Predictive Analytics and Futurism Newsletter
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Forecasting
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Practitioners' Forum
the future. Asset defaults are deterministic, mortality is deterministic, and so on. In the absence of ... underlying model. So we will test for sensitivity to mortality, asset default, expense morbidity, and others ...- Authors: David N Becker, Charles D Friedstat, Michael E Mateja, Stephen A J Sedlak
- Date: Sep 1995
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management; Financial Reporting & Accounting>Statutory accounting