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Stochastic Modeling in the Financial Reporting World
Stochastic Modeling in the Financial Reporting World This session of the SOA 2003 Washington, DC Spring Meeting covers the basics of stochastic modeling with focus on random number and scenario ...- Authors: Robert W Wilson, Ronald Harasym
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models
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Hedging Variable Annuity Guarantees: A Practical Discussion
Hedging Variable Annuity Guarantees: A Practical Discussion From a session at the Spring meeting of the Society of Actuaries held in San Antonio, Texas, June 14-15, 2004 The panelists discuss ...- Authors: Zafar Rashid, Francis Sabatini, Application Administrator, Daniel D Heyer, Mark Evans
- Date: Jun 2004
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Guaranteed living benefits; Annuities>Variable annuities; Finance & Investments>Risk measurement - Finance & Investments; Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]; Modeling & Statistical Methods>Stochastic models
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Sequential Credibility Evaluation via Stochastic Approximation
Sequential Credibility Evaluation via Stochastic Approximation Stochastic approximation is a powerful tool for sequential estimation of zero points of a function. In this paper, this methodology ...- Authors: Udi E Makov, Zinoviy Landsman
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Portfolio Optimization in Corporate Models
Portfolio Optimization in Corporate Models Design and future maintenance of an asset portfolio backing a new line of business is critical for proper asset and liability management for that ...- Authors: William L Babcock, Steven Craighead
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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How Many Scenarios?
How Many Scenarios? The Risk Management Task Force polled the Risks & Rewards readers and asked the following questions related to Monte Carlo models: 1 How many scenarios do you run? 2 How ...- Authors: David Ingram
- Date: Oct 2002
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risks & Rewards
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Stochastic models
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Short Cuts: Easy Yield Curve Fit
Short Cuts: Easy Yield Curve Fit Feature article discussing numerical short cuts, rules of thumb, estimators, modeling tips, etc. The featured problem is fitting the intermediate points for a ...- Authors: Joseph Koltisko
- Date: Aug 2010
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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A Multi-Stakeholder Approach to Capital Adequacy
A Multi-Stakeholder Approach to Capital Adequacy This paper is Part 1 of a two-part submission. Part 2, “An Alternative Approach to Capital Allocation,” discusses using risk-replicating ...- Authors: Robert Painter, Dan Isaac
- Date: May 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Practice Forum
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Stochastic models
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A Stochastic Investment Model
A Stochastic Investment Model The purpose of this paper is to provide a method for calculating special contingency reserves for investment losses. The method is derived by first building a ...- Authors: John A Beekman
- Date: Jan 1980
- Competency: Results-Oriented Solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Implementation of Arbitrage-free Discretization of Interest Rate Dynamics and Calibration via Swaptions and Caps in Excel VBA
Implementation of Arbitrage-free Discretization of Interest Rate Dynamics and Calibration via Swaptions and Caps in Excel VBA We consider Libor market model and calibration process. We estimate ...- Authors: Ohoe Kim, Swathi D Gaddam
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Economics>Financial economics; Finance & Investments>Derivatives; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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The Distribution of Discounted Compound Renewal Sums
The Distribution of Discounted Compound Renewal Sums This is a presentation from 43rd Actuarial Research Conference ARC, Regina, August 14–16, 2008. This talk will present the moment generating ...- Authors: José Garrido, GHISLAIN LEVEILLE, Ya Fang Wang
- Date: Nov 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models