51
-
60
of
64
results (0.56 seconds)
Sort By:
-
Generating Stochastic Interest Rate Scenarios
session from the 1995 SOA Boston Meeting covers a general overview of basic interest rate models, the meaning ... meaning of an arbitrage free model, the considerations in choosing an appropriate interest rate scenario generator ...- 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
-
A General Formula for Option Prices in s Stochastic Volatility Model
considers the pricing of European derivatives in a Black-Scholes model with stochastic volatility. The presentation ... cases. The main ingredient in this presentation's method is the Laplace transform of the ordinary ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods>Stochastic models
-
Beware stochastic model risk!
Beware stochastic model risk! The article warns against treating the results of a stochastic model with more ... describes some hidden risks involved with choice of model and calibration. Statistical methods 9/17/2019 ...- Authors: Stephen Strommen
- Date: Sep 2019
- Competency: Professional Values; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
-
Stochastic Pricing for Embedded Options in Life Insurance and Annuity Products
Life Insurance and Annuity Products The research investigates the challenges associated with determining ... embedded options in two product types and incorporates the process into product pricing and liability valuation ...- Authors: Society of Actuaries, Timothy Hill, Dale Visser, Ricardo Trachtman
- Date: Oct 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
-
Estimating Long-Term Returns in Stochastic Interest Rate Models
Models This paper addresses the evaluation of long-term returns when the short interest rate is modeled ... process. By deriving the long-term return dynamics and invoking the Feyman-Kac formula, the long-term return ...- 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
-
Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes
Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes Prior work indicates ... plausible set of extreme paths than do the usual stochastic interest rate models. Generalizing the Black-Karasinski ...- Authors: James Bridgeman
- Date: Dec 2007
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models
-
Universal Life With Secondary Guarantees: Stochastic Pricing Analysis
Universal Life With Secondary Guarantees: Stochastic Pricing Analysis This article is based ... profit analysis and the impact of investment volatility of two common variants of ULSGs - level specified ...- Authors: Robert Stone, Andrew Steenman
- Date: Feb 2012
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Product Matters!
- Topics: Life Insurance>Secondary guarantees; Life Insurance>Universal life; Modeling & Statistical Methods>Stochastic models
-
Real-Time Stochastic Analysis
Analysis 1998 Valuation Actuary Symposium. The panelists discussed how asset liability management ... company-specific set of liabilities and total risk exposure optimization, which includes stochastic analysis of alternative ...- Authors: Frederick W Jackson, Mel Stein
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Stochastic models
-
Short Cuts: Easy Yield Curve Fit
cuts, rules of thumb, estimators, modeling tips, etc. The featured problem is fitting the intermediate ... intermediate points for a real-world stochastic model of interest rates. Discount rates=Interest rates;Yield curve=Term ...- Authors: Joseph Koltisko
- Date: Aug 2010
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
-
Need for Speed: How to optimize models for maximal run efficiency
roll-forward on time, obtaining a fresh model output the first time or providing model results for your business ... tight turnaround all depend on one thing: how fast the model engine runs. Authors explored various reasons ...- Authors: Housseine Essaheb
- Date: May 2019
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: CompAct
- Topics: Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models; Technology & Applications>Automation