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Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australian Data
URL ht tp : / /www.ocs .mq.edu .au / -msher r i s /pubs .h tml Acknowledgment: The authors would ... level as interest rates rose during the 1970's and 1980's. Models of interest rates that incorporate mean-reversion ...- Authors: Michael Sherris, Ben Zehnwirth, Leanna Tedesco
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Non-Life Insurance Claim Incurral, Accrual, and Reporting Analysis
Non-Life ... ... A~,,i~t~,R~,,,~u ..... R~,~,~k.i-l) = 1 - exp{-#t,~,~i U(,,,i~ki}, where U~,,,)ki = A(,,~k~ +'" ... calculation of model 355 ',,.7- g co 3 o S@mple Cloim Development uO p.. ko cq 0 Accrued ...- Authors: James Robinson
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability>Health insurance; Modeling & Statistical Methods>Stochastic models
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The Mollification Analysis of Stochastic Volatility
described by a stochastic process: dS = #(S, t)dt + a(S, t)dW where W is a standard Brownian Motion ... and a is the instantaneous standard deviation of S which specifies its volatility. This paper presented ...- Authors: Lijia Guo
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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Generating Stochastic Interest Rate Scenarios
DAVIDN. BECKER GORDON E. KLEIN CRAIG B. MERRILL* MARK S. TENNEY# Recorder: MICHAEL F. DAVL1N What are the ... 00%. We won't need the last period's interest rate(s). Consider a one-year Treasury strip. To value it ...- Authors: David N Becker, Michael F Davlin, Gordon E Klein, Mark S Tenney, Craig Merrill
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models
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Measuring Uncertainty in Loss Reserves
ROGERM. HAYNE Panelists: SPENCERM. GLUCK THOMAS S. WRIGHT* Recorder: ROGERM. HAYNE This panel will ... that, I think I'll tum it over to Tom. MR. THOMAS S. WRIGHT: I'm going to talk about two stochastic methods ...- Authors: Spencer M Gluck, Roger M Hayne, Thomas S Wright
- Date: Apr 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Health & Disability>Health insurance; Modeling & Statistical Methods>Regression analysis; Modeling & Statistical Methods>Stochastic models
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Estimating Long-Term Returns in Stochastic Interest Rate Models
all increasing family of sub-sigma-algebras of S. At some future time T, T > 0 , the long-term return ... Proof First we define S(t, r) and u(t,r) as [ s(t , r) = r(~)d~ u(t, r) = E r IS] According ...- Authors: Lijia Guo, Zenghui Huang
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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A Life Contingency Approach for Physical Assets: Create Volatility to Create Value
fact demonstrates that there is a notion of mortality implicit in the way an enterprise manages its ... this paper is capital equipment. According to the U.S. Census Bureau’s “2010 Capital Spending Report,” ...- Authors: Thomas Emil Wendling
- Date: Mar 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Stochastic models
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Actuarial Sciences and Uncertainties
actuaries have applied stochastic models to mortality and other processes in order to get a measure ... in June 1989. Dear Edith: Medicine in the Year 2000 I found Harry M. Oliver, Jt’s, article in the ...- Authors: Francisco Bayo
- Date: May 1988
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Actuarial Profession; Modeling & Statistical Methods>Stochastic models
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A Handful of Economic Capital Model Observations
and use of economic capital (EC) mod-els in the U.S. have certainly moved forward since the models were ... assumption. For instance, a “1 in 200 year” mortality assumption could lead the actuary to an influenza ...- Authors: David M Walczak
- Date: Nov 2019
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Stochastic models
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Economic Scenario Generators, Part I: Motivation for Stochastic Modeling
Generator (AIRG), the most commonly used ESG by U.S.-based actuaries. See Figure 1 for an overview of ... assigning a market-consistent value to a variable annuity (VA) product with a guaranteed minimum accumulation ...- Authors: Dean Kerr, Matthew Zhang, Rahat Jain
- Date: Nov 2019
- Competency: Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: The Modeling Platform
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models