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Statistical Tests of the Lognormal Distribution as a Basis for Interest Rate Changes
used for this study are debt instruments of the U.S. Gov- ernment. These securities are widely held ... Salomon Brothers, Inc. [12]; it is found in Part I, Table 1. Here the three-month and six-month yield data ...- Authors: David N Becker, Douglas Doll, Thomas Herzog, Daniel W Tucker
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation
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Interest Rate Scenarios
that are "mapped" to the probabilities in the table. The random technique can be visualized as a roulette ... 3, the 100 possible outcomes are P3~ l 's, P32 2's, P33 3's, and so on. A spin 428 INTEREST RATE ...- Authors: Merlin F Jetton
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Scenario generation
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A Practical Guide to Interest Rate Generators for C-3 Risk Analysis
interest rates bounded. Political actions in both the U.S. and Canada prevent hyperinflation, which has plagued ... depression. The U.S. national debt and the ever-rising cost of health care in both the U.S. and Canada suggest ...- Authors: Sarah Christiansen
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Scenario generation