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Immunization Under Stochastic Models of the Term Structure
Immunization Under Stochastic Models of the Term Structure The purpose of this paper is to survey some new results concerning the term structure of interest rates and discuss actuarial ...- 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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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 valuation, a stochastic valuation which allows flexible interest rate and cash flow ...- 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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Manipulating Lagrangian Distributions and Associated Compound Distributions with Maple
Manipulating Lagrangian Distributions and Associated Compound Distributions with Maple Applications of Lagrangian distributions to modelling claim frequency data in an insurance portfolio is a ...- Authors: Rohana Ambagaspitiya
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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An Alternative Option Pricing Model
An Alternative Option Pricing Model A European call option pricing model similar to the Black-Scholes equation [1] is derived. Like the Black-Scholes equation, the model is based upon an ...- Authors: Joseph D Marsden
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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Economic Capital: A Case Study To Analyze Longevity Risk
Economic Capital: A Case Study To Analyze Longevity Risk Feature article discussing how insurers have reflected volatility in asset return assumptions when determining capital requirements, but ...- Authors: Stuart Silverman
- Date: Aug 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Stochastic models
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Analysis of the Ruin Probabilty Using Laplace Transforms and Karamata Tauberian Theorem
Analysis of the Ruin Probabilty Using Laplace Transforms and Karamata Tauberian Theorem In this note, the asymptotic behavior of the probability of ruin is derived by means of infinitesimal ...- Authors: CORINA DANA CONSTANTINESCU, Enrique Thomann
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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How to Prevent the Big Mistake
How to Prevent the Big Mistake This article deals with enterprise risk management and how the techniques contained within the discipline can help prevent unforeseen large mistakes in strategy, ...- Authors: Edward Betteto
- Date: Mar 2003
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Big picture view; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Reinsurance News
- Topics: Enterprise Risk Management; Finance & Investments>Asset liability management; Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
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A Stochastic Investment Model for Actuarial Use
A Stochastic Investment Model for Actuarial Use The purpose of this paper is to present to the actuarial profession a stochastic investment model which can be used for simulations extending for ...- Authors: A D Wilkie
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models
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Hedging Equity-Linked Products Under Stochastic Volatility Models
Hedging Equity-Linked Products Under Stochastic Volatility Models Presented at August 2011 Actuarial Research Conference. Summarizes the Heston model, discusses hedging equity indexed ...- Authors: Anne MacKay
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Theory of Stochastic Mortality and Interest Rates
Theory of Stochastic Mortality and Interest Rates Statistical properties of interest, annuity and insurance functions are examined when mortality and interest are treated as having a random ...- Authors: Harry H Panjer, UNKNOWN David Bellhouse
- Date: Aug 1978
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models