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Asset Prepayment Assumptions for Regulatory Cash-flow Testing
Asset Prepayment Assumptions for Regulatory Cash-flow Testing 1993 SOA Annual Meeting, New York. This session discussion is about asset prepayment assumptions for regulatory cash-flow testing.Description: 1993 SOA Annual Meeting, New York. This session discussion is about asset prepayment assumptions for regulatory cash-flow testing. Topics included: 1. The prepayment characteristics of corporate bonds with embedded options. 2. How much prepayment and redemption activity has taken place within that market. 3. Techniques that corporate bond issuers have used to retire debt prior to maturity. 4. The investment implications. 5. The impact that prepayments have on MBS price and return performance. 6. The challenges of prepayment modeling.
Hide- Authors: Randall Boushek, Dale P Westhoff, John V Malvey
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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Modeling Home Equity Conversion Mortgages
Modeling Home Equity Conversion Mortgages This report describes a stochastic simulation approach used to estimate the amount of a level-payment annuity payable as long as the person is alive and ...Description: This report describes a stochastic simulation approach used to estimate the amount of a level-payment annuity payable as long as the person is alive and living in his/her house. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.
Hide- Authors: Thomas Herzog, Tapen Sinha, Theresa R DiVenti, Application Administrator
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models