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Immunization Under Stochastic Models of the Term Structure
Models of the Term Structure The purpose of this paper is to survey some new results concerning the term ... term structure of interest rates and discuss actuarial applications. The term structure of interest rates ...- Authors: Phelim Boyle
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Modeling & Statistical Methods>Stochastic models
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A New Risk Metric for Defined Benefit Pension Plans
order for actuaries to play a valuable role in the realm of enterprise risk management ERM, they must provide ... advice and quantitative analyses. In this paper, the authors use stochastic simulation technology to present ...- Authors: Thomas D Bergan, David Fishbaum
- Date: Oct 2006
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Practice Forum
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Defined benefit plans; Pensions & Retirement>Pension investments & asset liability management; Pensions & Retirement>Risk management
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Are Your Scenarios on Target?
2005, Issue No. 47. Actuaries are faced with the dilemma of how to incorporate advances in insurance products ... Increasingly, this means looking at a large number of potential outcomes using stochastic simulations.- Authors: Application Administrator
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Real-world interest rate models in a low interest rate environment
examines the implication of using real-world interest rate scenario generators with a block of fixed deferred ... generated with the Academy Interest Rate Generator , as well as an alternative economic scenario generator ...- Authors: Marshall Lin, Jean-Philippe Larochelle, Francisco Orduna
- Date: Dec 2015
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: The Modeling Platform
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
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Session 75 - Evolving the Role of the Valuation Actuary in a Principles-Based World
Session 75 - Evolving the Role of the Valuation Actuary in a Principles-Based World Principle-based ... and liabilities across a range of scenarios to assess the sufficiency of assets when determining reserves ...- Authors: Heather Gordon, Philip Rant, John Robinson, Chris Whitney
- Date: Sep 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Stochastic models
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Analysis of the Divergence Characteristics of Actuarial Solvency Ratios Under the Three Official Deterministic Projection Assumption Sets for the U.S. Social Security System
Analysis of the Divergence Characteristics of Actuarial Solvency Ratios Under the Three Official Deterministic ... Projection Assumption Sets for the U.S. Social Security System Annual reports of the U.S. Social Security Trustees ...- Authors: Kenneth G Buffin
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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The Valuation of Interest-Senstive Cash Flows Using the Symbolic Methed
The Valuation of Interest-Senstive Cash Flows Using the Symbolic Methed This paper introduces the symbolic ...- 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
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The Effect of Deflation or High Inflation on the Insurance Industry
The Effect of Deflation or High Inflation on the Insurance Industry This research report on the effect ... effect of deflation or high inflation has six sections: 1. The first section provides background on ...- Authors: Stephen P D'Arcy, Kevin Ahlgrim
- Date: Feb 2012
- Competency: External Forces & Industry Knowledge
- Topics: Economics; Global Perspectives; Life Insurance; Modeling & Statistical Methods>Stochastic models
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Stochastic Analysis of Long-Term Multiple-Decrement Contracts
Stochastic Analysis of Long-Term Multiple-Decrement Contracts This paper introduces a rich stochastic ... understanding risks in multiple-decrement contracts. The example in the paper is a 20-year Term insurance contract ...- Authors: Chad R Runchey, MATTHEW F CLARK
- Date: Aug 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Practice Forum
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Stochastic models
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Does Anyone Here Speak Greek? Hedging Your Equity-Indexed Products
Products From a session at the Spring regional meeting of the Society of Actuaries held in Atlanta, Georgia ... strategy that matches the equity options embedded in the liability. The panel discusses the following: ...- Authors: Anson Glacy, Francis Sabatini, Boris Brizeli, Scott Houghton, Kevin P Guckian, Henning Hasle, THOMAS K BAUER
- Date: May 1999
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Portfolio management - ERM; Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Stochastic models