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Summary of Final Report: 1986-1989 Credit Risk Event Loss Experience, Commercial Mortgage Loans and Private Placement Bonds
Traditionally, actuarial techniques are used to study mortality and morbidity experience. But an SOA study demonstrates ... that similar methods can be used to analyze the mortality and morbidity of assets i.e., credit risk events ...- Authors: Warren Luckner, Mark G. Doherty
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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Deep Learning for Liability-Driven Investment
that describes the optimal value V given a state s as the sum of current payoff (𝑃(𝑠, 𝑎)) of optimal ... 𝑇(𝑠, 𝑎) is the new state given previous state s and action a: 𝑉(𝑠) = max 𝑎 {𝑃(𝑠, 𝑎) + 𝛾𝑉(𝑇(𝑠 ...- Authors: Kailan Shang
- Date: Jun 2021
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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2003-2015 Credit Risk Loss Experience Study: Private Placement Bonds
the two study periods, 2003-2015 and 1986-2002. Table 1 shows the contributing companies to this study ... supporting the private placement bond study. Table 1 CONTRIBUTING COMPANIES Company 2003- 2012 ...- Authors: Society of Actuaries
- Date: Apr 2019
- Competency: External Forces & Industry Knowledge
- Topics: Actuarial Profession; Finance & Investments
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Yield Curve Extrapolation Methods
use. The primary focus of the research is on the U.S. and Canada; however, other international methodologies ... the extent they are directly applicable to the U.S. and Canada. 2. Identify and interview a broad ...- Authors: Jack T Kerbeshian, Patricia Matson
- Date: Feb 2019
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management; Finance & Investments
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Implementation of Intensity Model Approach to Constant Maturity Credit Default Swap Pricing
Implementation of Intensity Model Approach to Constant Maturity Credit Default Swap Pricing ... paper implements the price algorithm based on Brigo’s work [2006]. Starting with current market data such ...- Authors: Ohoe Kim
- Date: Jan 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Theory of Surplus in a Mutual Insurance Organization
Theory of Surplus in a Mutual Insurance Organization This paper examines the theory of surplus for a mutual ... risk;Intergenerational equity;Investment risk;Mortality risk; 2015 10/1/1967 12:00:00 AM ...- Authors: Charles L. Trowbridge
- Date: Oct 1967
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments
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Unreleased Capital Gains on Common Stocks as Required Surplus
unreleased capitAl gains Ut will be l).~:: (c. ~ F~_I T u.~-.) J( ( I - R.) where ~ is the aaount of coaaon ... gAins .ill approAch A pre-deterained vAlue, s. If s is the desired Required Surplus rAtio, the unreleAsed ...- Authors: David Ingram
- Date: Jan 1988
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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Choice and Justification of an Interest Rate
assumptions than to those arrived at by judgment. S. A scientific approach will aid in isolating reasons ... purposes of adjusted earnings. Gross Premiums In Table 1 we detail a series of specimen gross annual premium ...- Authors: Claude Y Paquin, Irwin T Vanderhoof, Dale R Gustafson
- Date: Oct 1973
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments; Life Insurance>Pricing - Life Insurance
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Ruin Theory Beyond Chapter 12
1993 VOL. 1 RUIN T~USOEY BEYOND CBAPTmu~ 12 Hans U. Gerber, Un ivers i ty of Lausanne (Summary of ... the c la im amount d i s t r ibut ion is a mix ture of exponent ia l d i s t r ibut ions . The resul ...- Authors: Hans U Gerber
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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The Valuation of Interest-Senstive Cash Flows Using the Symbolic Methed
the cash flows are fixed, as in the case of an annuity certain, the valuation follows almost immediately ... depend on rates, as with a Single Premium Deferred Annuity (SPDA), the valuation must account for the variability ...- Authors: Matthew Clayton Modisett
- Date: Jan 1992
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Fixed annuities; Finance & Investments; Modeling & Statistical Methods>Stochastic models