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Stochastic Simulation for C3 Risk:A Statistical Review
regime-switching lognormal stochastic model (RSLN2) for the S&P 500. The LCAS model was devel- oped by extending ... Government Bonds (U.S. IT GVT) U.S. Intermediate Term Government Bonds Long-Term Corporate Bonds (U.S. LT CORP) ...- Authors: Richard Wendt
- Date: Feb 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
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Deflators - The Solution to a Stochastic Conundrum?
Issue No. 45 R I S K S A N D R E W A R D S ISSUE NO. 45 • JULY 2004 TH E NE W S L E T T E R O F T ... T H E IN V E S T M E N T SE C T I O N PU B L I S H E D I N SC H A U M B U R G, I L L . BY T H E ...- Authors: Don Wilson
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Life Insurance; Modeling & Statistical Methods>Stochastic models
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Stochastic Model: A Telescope or Kaleidoscope?
Stochastic ... No. 44 R I S K S A N D R E W A R D S ISSUE NO. 44 • FEBRUARY 2004 TH E NE W S L E T T E R O F ... F T H E IN V E S T M E N T SE C T I O N PU B L I S H E D I N SC H A U M B U R G, I L L . BY T H ...- Authors: Vivek Gupta
- Date: Feb 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Global Perspectives>Global markets; Modeling & Statistical Methods>Stochastic models
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CIA Task Force on Segregated Fund Investment Guarantees excerpt from the Canadian Institute of Actuaries
Symposium on Stochastic Modelling for Variable Annuity/Segregated Fund Investment Guarantees by David ... The Task Force issued a 64-page report in August 2000 and recom- mended that Canadian actuaries use stochastic ...- Authors: 107929_firstname Canadian Institute of Actuaries
- Date: Jul 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Are Your Scenarios on Target?
basis for the scenarios, the assumed distribution(s) for parametric approaches or statisti- cal sampling ... Black-Scholes option implied volatility (Heston and Nandi 2000). If even more realism is required, i.e., combining ...- Authors: Application Administrator
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Implementing the Longstaff-Schwartz Model
credibility is about 10^s (within perhaps one half an order of magnitude) and s is dimensionality, we see ... interpolation of estimated bond prices. H = UΛU’ where, U:= matrix of eigenvectors, the first four principal ...- Authors: L SS
- Date: Oct 2002
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models