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Asset-Liability Modeling Issues: An Open Forum
Open Forum 5 that was either stochastic or dynamic. So if the actuary were doing a model and let’s ... earned rate, no matter what, but if they had dynamic lapse in there, there would still be a range.- Authors: Tracey Polsgrove, ELLEN COOPER
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods
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Asset Modeling Concepts
an example of dynamic rebalancing where we use duration and convexity to do the dynamic rebalancing. ... works and balances. It’’s just that it has to be a dynamic hedge. It can’’t be a static portfolio. FROM ...- Authors: Don Wilson, ELLEN COOPER
- Date: Sep 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods