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Stochastic Optimization Techniques for Pricing Callable Bonds: Continuous Time Approach
bond CB and its counterpart regular Bond B s with sinking fund S. Assume that the schedule of sinking fund ... and Ps -price of bond B s . Then Optimization Problem I P, = rain P b s ,S This fact explains why ...- Authors: Mark Saksonov
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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Managing the Insurance Enterprise An Interactive Computer Game
in each of the three submarkets. 280 [/"?.2~ s!':i:~i!,i;::':iS.iii~: :.!;!::::i!)!:)::!~i;;!::!~;: ... I:c~ example, in t~ I:e,~t ~ta'ee Na~s a l:z~ ferre d ,t.'u ve r m:ght gave r~ c'.azkg ~ alatl ~ ...- Authors: Arnold Shapiro, Ronald Crabb
- Date: Jan 1996
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Professional development; Technology & Applications>Computer science