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A New Approach to Duration
A New Approach to Duration This paper describes a new approach of calculating duration by taking a portfolio perspective utilizing the idea of internal rate of return. It is presumed the user has ...- Authors: Merlin F Jetton
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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Letters to the National Association of Insurance Commissioners Life/Health Actuarial Task Force Regarding the Development of the New Annuity Non-Forfeiture Law
Letters to the National Association of Insurance Commissioners Life/Health Actuarial Task Force Regarding the Development of the New Annuity Non-Forfeiture Law Letters to the national association ...- Authors: Roger K Wiard-Bauer
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities
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Bivariate Schuette Graduation
Bivariate Schuette Graduation Two-dimensional data can be smoothed by minimizing a combination of the sum of weighted absolute deviations from initial estimates and the sums of absolute values of ...- Authors: Esther Portnoy
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Chaotic Analysis on U.S. Treasury Interest Rates
Chaotic Analysis on U.S. Treasury Interest Rates This paper analyzes the U. S. Treasury monthly interest rates from 1953 to 1992, and the daily rates from 1981 to 1992 for various forms of ...- Authors: Steven Craighead
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics; Finance & Investments; Modeling & Statistical Methods
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Credibility Models: An Estimating Function Approach
Credibility Models: An Estimating Function Approach Abstract for the paper which gives a unified approach to modern credibility models by using the theory of estimating functions. Credibility ...- Authors: Harry H Panjer, David X Li
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Pricing Insurance Contracts - An Economic Viewpoint
Pricing Insurance Contracts - An Economic Viewpoint This paper presents a new approach for pricing insurance contracts. The approach is based both on economic and probabilistic arguments. The ...- Authors: Benny Levikson, Doron Kliger
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Pricing - Annuities; Life Insurance>Pricing - Life Insurance
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Economic Scenario Generator for Insurance and Pension Rational Decision Making Under Uncertainty
Economic Scenario Generator for Insurance and Pension Rational Decision Making Under Uncertainty In this presentation, the authors develop a stochastic generator for the generation of scenarios ...- Authors: Mark S Tenney, Steven Craighead
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics>Financial markets
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Optimization of the Ultimate Ruin Probability in Risk Theory
Optimization of the Ultimate Ruin Probability in Risk Theory The objective of this paper is to present and to apply a numerical method in the calculation of the minimal and maximal ultimate ruin ...- Authors: Etienne Marceau
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Distribution and Quantile Estimates for Parametric and Non-parametric Models on Value at Risk
Distribution and Quantile Estimates for Parametric and Non-parametric Models on Value at Risk This paper compares percentile estimates of a large number of cash flow testing scenarios, where only ...- Authors: Beda Chan
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Claims Reserving when there are Negative Values in the Development Triangle
Claims Reserving when there are Negative Values in the Development Triangle In this paper the author presents an application of Bayesian forecasting methods to the estimation of reserves for ...- Authors: Enrique de Alba
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Forecasting