1
-
10
of
10
results (1 seconds)
Sort By:
-
Chaotic Analysis on U.S. Treasury Interest Rates
Chaotic Analysis on U.S. Treasury Interest Rates This paper analyzes the U. S. Treasury monthly interest ...- Authors: Steven Craighead
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics; Finance & Investments; Modeling & Statistical Methods
-
A Geometric Approach to Exact Solutions in Finance and Actuarial Science
Finance 1 a) State variables u du ,.o.,U n evolve according to = ~(t, u J )dt + ~ oi~ dz a C( ... premia n i = ni(t,u J) r = r(t, uJ) Then a security B(t,u i) which pays cash flow CF(t,u ~) satisfies ...- Authors: Application Administrator
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
-
A Linear Programming Approach to Maximizing Policyholder Value
A Linear ... on Camh Value of Pr ior Loan Act iv i ty . . 2-S 2.4 Cash Va lue as a Linear Funct ion; Product ... idor . . . . . . . . . 2-10 3. A 3.1 3.2 S imple Mode l Ob jec t ive Funct ion and Const ...- Authors: Michael Conwill
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Life Insurance>Universal life; Modeling & Statistical Methods
-
A Bond Manager's Method for ALM
A Bond Manager's Method for ALM This paper introduces the Bond Manager's Method ... A Bond Manager's Method for ALM This paper introduces the Bond Manager's Method for ALM which ...- Authors: Application Administrator
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
-
Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
within the context of expected utility theory. • u = concave utility function of wealth of the buyer ... for complete coverage against the loss Y. u(w – P) = E[u(w – Y)]. • See Bowers et al. (1997, equation ...- Authors: Virginia Ruth Young, Application Administrator
- Date: Aug 2001
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
-
Bounds on Expected Values of Insurance Payments and Option Prices
Bounds ... = inf[ I h(x) dFIx) : F ~ M(y) ] and i b U(h y) = sup{ h(x) dF(x) : F c ~l,(y) } where y denotes ... The best uigper bound for h(x) = min{x, d} is U(h I y) = q 0-2 d for O~dSkt -b_ ~ ~t(b + d) ...- Authors: Samuel Cox
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance
-
Option Bounds in Discrete Time with Transaction Costs
period. 371 Su Su 2 S Sud Sd Sd2 where we assume that u > R > d, with R equal to one plus ... diagram we will construct the portfolio at the point S. In order to take the transaction costs into account ...- Authors: Phelim Boyle, Ton Vorst
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
-
Total Return, Duration and Convexity
Total Return, Duration and Convexity In writing this note on the relationship between total return, ... it was author's intent to produce a better understanding of Redington's theory of immunization ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
-
Solution of the Risk Load Problem of Effect on Variability
Solution of the Risk Load Problem of Effect on Variability The method described in this paper ... proportion to its estimated effect on an insurer's surplus variation. Risk load for each category of ...- Authors: Daniel F Gogol
- Date: Jan 1993
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
-
On Uniqueness of Interest Rates in a Borrowing/Lending Model
what is be ing claimed. In th is note we close s smal l gap that may have ex is ted in the ac tuar ... More impor tant ly , we i l lus t ra te how some s imple mathemat ics is used in "unusua l " ways ...- Authors: Donald P Minassian
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods