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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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Capital Allocation by Possibilistic Linear Programming Approach
mean-variance method does not take skewness of the random rate of return into consideration. It only considers ... acceptable rate of return, which limited the probability of obtaining higher rate of return. If the skewness ...- Authors: Lijia Guo, Zhen Huang
- Date: Jan 1996
- 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>Portfolio management - Finance & Investments