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Achieving Consistency between Investment Practice and Investment Assumptions for Single Premium New-Money Products
INVESTMENT PRACTICE AND INVESTMENT ASSUMPTIONS FOR S INGLE PREMIUM NEW-MONEY PRODUCTS JAMES A. TILLEY ... centers on a new block of single premium immediate annuity business. At the time business is written, the ...- Authors: James A Tilley
- Date: Oct 1979
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Annuities>Pricing - Annuities; Finance & Investments>Investment strategy - Finance & Investments
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Assumed Interest Rate Assumption and the Maturity Structure of the Assets of a Life Insurance Company
Assumed Interest Rate Assumption and the Maturity Structure of the Assets of a Life Insurance ... earnings. Discussions of this paper are included. Annuity valuation;Equities=Common stock=Stock=Preferred ...- Authors: Irwin T Vanderhoof
- Date: Oct 1972
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Investment strategy - Finance & Investments
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The Matching of Assets and Liabilities
The ... years rather than to the end of the mor- tality table, and then "maturing" the remaining policies for ... ~F,- - ~- : ,~] [.,_, + , , ( , - x , , ) ] (s ) / t~ in t~ l~out k -2 k -1 k - l -1 - - ...- Authors: James A Tilley
- Date: Jan 1980
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods
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Multivariate Stochastic Immunization Theory
m- 1, the collection of residuals: {ziij - ~t u N,},j = 1, 2, ... (1.3) is as small as possible ... If P(i)=S(i) denotes the price function of surplus or net worth, where S(i)=A(i)-L(i) and S(io)#0, the ...- Authors: Robert Reitano
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Algorithms for Cash-Flow Matching
Algorithms for Cash-Flow Matching This paper presents enhancements to the classical cash-flow ... Mathematics and Economics 4 (1985): 239-44. 2. BENJAMIN, S. "The Theory of Games and Its Application to Rate ...- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments