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Cash-Flow Matching and Linear Programming Duality
Chapter 6], [10], [11, Chapter 7], [13], [15], [16], [17], [18], [19], [21], [22], [23], and [24]. II. DUALITY ... Pollack. Homewood, I11.: Dow Jones-Irwin, 1987, 704-17. 4. EHRrtAROT, M.C. "A New Linear Programming Approach ...- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management
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Algorithms for Cash-Flow Matching
immunization and its generalizations are [1], [7], [16], [17], [22], [23] and [24]. Discussions on and applications ... TSA XXXVII (1985): 241- 57; Discussion 259-302. 17. MORRISON, G.M. "Immunized and Dedicated Bond Portfolios ...- 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
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Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Applications
Information Theoretic ... 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 31 ... is described in more detail in Brockett and Cox [17]. We provide two numerical examples that illustrate ...- Authors: Bradley P Carlin, Beda Chan, Thomas Herzog, William L Roach, Elias Shiu, Patrick L Brockett, Josh Babier, Wojciech Szatzschneider, E S Rosenbloom
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession; Modeling & Statistical Methods