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A Users Guide to the Inflation Generator
A Users Guide to the Inflation Generator This is the User's Guide that accompanies the Inflation ... when performing cash flow testing or 3 dynamic financial analysis (DFA) where cash flows are related ...- Authors: Stephen P D'Arcy, Kevin Ahlgrim
- Date: Feb 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Economics; Modeling & Statistical Methods>Stochastic models
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The Effect of Deflation or High Inflation on the Insurance Industry
simulations when performing cash flow testing or dynamic financial analysis (DFA) and the discrete time ... Paper Series. Browne, Carson, and Hoyt, 2001, “Dynamic Financial Models of Life Insurers,” North American ...- Authors: Stephen P D'Arcy, Kevin Ahlgrim
- Date: Feb 2012
- Competency: External Forces & Industry Knowledge
- Topics: Economics; Global Perspectives; Life Insurance; Modeling & Statistical Methods>Stochastic models
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Long-Term Forecasting for Interest Rates
N-DAY CHANGES IN INTEREST RATES UNDER VASICEK TYPE DYNAMIC WITH NONPARAMETRIC STOCHASTIC COMPONENT ..... ... n-day changes in interest rates under Vasicek type dynamic with nonparametric stochastic component 3 ...- Authors: Application Administrator, Vladimir S Ladyzhets, Vladimir Cherepanov
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Stochastic models
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Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization
paper. Biffis, E., 2005, Affine Processes for Dynamic Mortality and Actuarial Valuations, Insurance: ... and Insurance. 73(1): 1-17 Duffie, D., 1992, Dynamic Asset Pricing Theory (Princeton, New Jersey: Princeton ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Systemic risk; Modeling & Statistical Methods>Stochastic models
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Modeling of Economic Series Coordinated with Interest Rate Scenarios: A progress report on research sponsored by the Casualty Actuarial Society and the Society of Actuaries
• A property-liability insurance company uses dynamic financial analysis (DFA) to compare alternative ... community. For example, a key aspect of the dynamic financial analysis process, which continues to ...- Authors: Stephen P D'Arcy, Richard Gorvett, Kevin Ahlgrim
- Date: Jan 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Economics; Modeling & Statistical Methods>Stochastic models
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Portfolio Optimization in Corporate Models
toolbox. One of our next steps will be to employ a dynamic asset strategy through- out the projection period ... some of these methods to determine the optimal dynamic asset strategy to support a line of business.- Authors: William L Babcock, Steven Craighead
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australian Data
Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models ... Muscatelli, V. A. and S. Hum. (1992). Cointegration and Dynamic Time Series Models, Journal of Economic Surveys ...- Authors: Michael Sherris, Ben Zehnwirth, Leanna Tedesco
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Estimating Long-Term Returns in Stochastic Interest Rate Models
Estimating Long-Term Returns in Stochastic Interest Rate Models This paper addresses the evaluation ... of interest rate process. The paper derived a dynamic model for aver- age short rate over time to Illal ...- Authors: Lijia Guo, Zenghui Huang
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Examining Changes in Reserves Using Stochastic Interest Models
Examining Changes in Reserves Using Stochastic Interest Models This paper focuses on the fact that ... determined from discounted case flows mask the dynamic nature of interest rates. To study this effect ...- Authors: Edward Frees, Siu-Wai Lai
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Book Reviews and Notices
Book Reviews and Notices This section contains multiple book reviews and notices concerning the actuarial ... $17.50. As might be expected in a business as dynamic as group insurance, few text- books have been ...- Authors: Society of Actuaries
- Date: Oct 1977
- Competency: External Forces & Industry Knowledge>External forces and business performance; Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Health & Disability>Disability insurance; Health & Disability>Health risks; Modeling & Statistical Methods>Stochastic models; Pensions & Retirement; Pensions & Retirement>Funding; Social Insurance>Social Security
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A New Collective Risk Model
A New Collective Risk Model In this paper, a mathematical model is constructed to study the deviations ... readers follows Discount rates=Interest rates;Dynamic simulation models;Inflation;Risk measurement;Risk ...- Authors: John A Beekman, Ethan Stroh, Richard W Ziock
- Date: Oct 1973
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Stochastic models