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Cox, Ingersoll and Ross Models of Interest Rates
Cox, Ingersoll ... dttrtdWtrtdr ttt ))(()()()( bas -+= ttt bas ,, Þ 2 4 s a ³ Cox, Ingersoll And Ross Models Of Interest ... ý ü î í ì +ú û ù ê ë é ++= Î =++= ds s sbs s s db )('2)()(2)( C ifFinally function ...- Authors: Peter Tilley, Wojciech Szatzschneider
- Date: May 2002
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Forecasting
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Asset Prepayment Assumptions for Regulatory Cash-flow Testing
amount of callable corporate debt outstanding. In Table 1, you can see that as of September 1993, almost ... placements, most medium-term notes, and Eurobonds. Table 2 contains informationon the historicaltotal returns ...- 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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Investment Strategies To Maximize Yield
Management in St. Paul, MN. Note: The chart(s) referred to in the text can be found at the end of ... FROELICH† JOSEPH E. PAUL Summary: With the U.S. Treasury curve at its lowest level in years, general ...- Authors: Nancy Bennett, Joseph E Paul, Marilyn Froelich
- Date: Oct 2001
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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Real Estate Investment
are reflective of the aggregates of the primary U.S. institutional asset forms as of the end of 1983 ... end of 1983. Notice how they are dominated by the U.S. Treasuries. Slide #2 shows the total of the long- ...- Authors: Christopher D Budden, Benjamin D Fein, Garnett L Keith, Robert McClester, Meyer Melnikoff, William L Ramseyer
- Date: May 1984
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments; Global Perspectives
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Measuring Insurance Company Investment Performance
whether it was the Standard & Poor's 500, the Russell 2000, or some other index. All the pieces were in place ... market indexes, but not versus other companies. Table 1 illustrates some of the differences between general ...- Authors: Joseph J Buff, Robert W Burgess, G Kevin Gough, Edwin P McCausland, Michael J Millette
- Date: May 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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No Place To Hide - Consolidating Insurers' Exposure to Equity Market Risk
bigger equity positions on their balance sheets than U.S. insurers. The decline in capital has forced many ... of the variable-product-type issues, GMDBs, mortality and expense (M&E) fees and others. We are now ...- Authors: John Toohey, Linyi Zhang, Sandeep Bidani
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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Analysis of Junk Bond Investment Results
ROBERT J. JOHANSEN Panelists: FAYE ALBERT JEROME S. FONS* PAULETTE JOHNSONt Recorder: J. CALVIN WINTER ... project to compile a public actuarial database on mortality and morbidity for CCRCs. Dr. Paulette Johnson ...- Authors: Application Administrator, Robert J Johansen, John C Winter, Paulette Johnson, Jerome S Fons
- Date: Apr 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Experience Studies & Data; Finance & Investments>Investments
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Arithmetic of Option Pricing
firm. A life insurance contract covers not just mortality risk---one has to value loan privileges and the ... about later. As an example, let's say that today' s interest rate is 5% (annualized), so this is a one-year ...- Authors: Joseph Koltisko, Craig Merrill
- Date: Apr 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments
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Investment Policy In A Changing Economy
investment risk needs. Let s =S/A = ratio of surplus to assets, and X = M/S = ratio of market value of ... of co_uuon stocks to surplus; where S = statutory surplus (includlngMSVR) A = admitted assets M = market ...- Authors: Donald D Cody, William A Dreher, Irwin T Vanderhoof, Allan B. Roby
- Date: Apr 1976
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investment policy; Finance & Investments>Investments
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Asset Management for an Insurance Company
responsible 4% or so. When an actuazy priced an annuity it was to ascertain that amount which could be ... DISCUSSION TO add to the excitement of the 1980's, we find ourselves in a very competitive marketplace ...- Authors: Steven Eisenberg, Raymond J Nacin, Stanley B Tulin
- Date: Oct 1981
- Competency: Leadership>Thought leadership; Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Investment strategy - Annuities; Finance & Investments>Asset allocation; Finance & Investments>Investment policy; Finance & Investments>Investments; Life Insurance>Investment strategy - Life Insurance