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Multivariate Modeling of Asset Returns for Investment Guarantees Valuation
ion 7 of 20 Models Models –– GARCHGARCH • Dynamic Conditional Correlation (DCC) – Idea: modelin ... investment/2006/pdf/2111_v.3.pdf DCC: Engle, R.F. (2002), «Dynamic Conditional Correlation: A Simple Class of Mu ...- Authors: Christian-Marc Panneton, Mathieu Boudreault
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
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Setting Long-Term Investment Assumptions for Actuarial Models
Setting Long-Term Investment Assumptions for Actuarial Models Presented at May 2005 Spring ... course, on the casualty side, you might consider dynamic financial analysis, which is just cash-flow testing ...- Authors: Phillip Schechter, Kevin Ahlgrim
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Asset modeling
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Asset Modeling Concepts
to write a custom option) and coming up with a dynamic hedging strategy are certainly there to mitigate ... account surplus that's accumulating. You have a dynamic activity occurring in the middle, and the result ...- Authors: Henry M McMillan, Harry Jamison, David M Walczak
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Asset modeling
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Asset Modeling Concepts
second type of validation is what I call dynamic validation. Dynamic validation involves comparison of the ... level by asset class and at a portfolio level. Dynamic validation involves comparison of the projected ...- Authors: Scott Houghton
- Date: Sep 2002
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Asset modeling
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Interest Scenarios
It does not actually attempt to emulate the dynamic of interest-rate term structure. An arbitrage-free ... the Heath & Jarrow & Morton Model describes the dynamic of the forward rate. All three models are classical ...- Authors: Application Administrator, John M Bragg, Larry M Gorski, John B Gould, Regina Lefkowitz, Sarah Christiansen, Jeffrey S Roth, John D Marcsik, Vladimir S Ladyzhets
- Date: Oct 2000
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Public Policy
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Asset Modeling Concepts
Asset Modeling Concepts This presentation is from session number 3, presented at the 1999 ... interest, including purpose of model considerations, dynamic reinvestment strategies, and less than rigorous ...- Authors: Frederick W Jackson, Teri Geske, Charles K Cackowski
- Date: Sep 1999
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Modeling & Statistical Methods>Asset modeling
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Asset Modeling Concepts
defining the static spread, but also what is the dynamic solution between interest rates and yield spreads ... Practice Nos. 7 and 14, the Practice Notes, the Dynamic Financial Condition Analysis Handbook and even ...- Authors: Elizabeth Ward, David E Canuel
- Date: Sep 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Asset modeling
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General Asset/Asset Specific Modeling
portfolio rate that comes off those assets in your dynamic cash-flow testing and use that information to ... and ask some questions. I strongly recommend a dynamic link from your CMOs to your ALM software. That ...- Authors: David N Becker, Peter Tilley
- Date: Sep 1995
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Technology & Applications>Software
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General Asset Issues
General Asset Issues This session from the 1993 Valuation Actuary Symposium looks at asset ... scenario generation. Asset liability management=ALM;Dynamic simulation models;Scenario generation=Scenario ...- Authors: Thomas W Reese, Kin O Tam, John C Sweeney
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Asset modeling
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Modeling: Basic Training
business which may generate large claim reserves, dynamic assumptions for lapses, policy persistency and ... that illustrate the importance of modeling using dynamic assumptions. Liability assnmption development ...- Authors: Arnold Dicke, Meredith Ratajczak
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Reserves - Annuities; Health & Disability>Health insurance; Life Insurance>Reserves - Life Insurance; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models