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The Pricing of Nonparticipating Single Premium Immediate Annuities
PRICING OF SINGLE PREMIUM IMMEDIATE ANNUITIES 17 (1 + 0.52i~)SV_1 is exactly equal to the book profit ... [- ~(R~) - -O ] - - u( q ) ) _ v ( (o ) j" (17) . . . . . t-s .R . S R ) Choosing R~ °) = ...- Authors: J Alan Lauer, Larry R Peterson, James A Tilley
- Date: Oct 1979
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Annuities>Pricing - Annuities
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New Method of Analyzing Existing Assets and Their Ability to Meet Future Liability Demands
.3 Z.54 Z.83 7.7 9.Z 1Z5.3 1Z6.8 -1 .5 1.95 Z.17 4 .4 5.5 99.9 101.8 -1 .9 1.36 1.56 Z.1 Z.9 47 ... Z.Z Z.49 2.79 7.4 9.1 3 12,7.0 1Z6.8 O.Z 1.94 Z.17 4.3 5.5 4 96.4 95.3 1.1 1.35 1.54 Z.0 Z.8 5 46 ...- Authors: James A Tilley
- Date: Jan 1985
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Asset liability management
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Asset Share Mathematics
Asset Share Mathematics ... 3 . . . . . 4 . . . . '. 5 . . . . . 16.. 17.. 18.. 19.. ~0.. /t-I ,000.000 799. 160 ... . 14 . . . . . 15 . . . . . 16. . . : . 17 . . . . . 18 . . . . . 19 . . . . . 20 . .- Authors: Pierre Chouinard, Mark Evans, Peyton J Huffman, Frank C Metz, Robert Reitano, James A Tilley
- Date: Oct 1978
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Financial Reporting & Accounting
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The Investment Process and Present Value Calculations
The Investment Process and Present Value Calculations After reading the Panjer-Bellhouse paper in the ... o) = ~(t) + (u) O 38 (~7) Substituting (17) into (3), we finally arrive at f ~(t,t o) = 7i~(u) ...- Authors: James A Tilley
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Professional Values>Practice expertise
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models
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Valuing American Options in a Path Simulation Model
[8], [9], [10], [12], [13], [14], [15], [16], [17], [18], [19], [20], [21], [22], and [23]. The standard ... Proceedings of the 2nd AFIR Colloquium 1 (1990): 237-66. 17. PEDERSEN, H. W., AND SHIU, E. S. W. "Pricing of ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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The Matching of Assets and Liabilities
constraints S(iL) _> 0, in < i0 (downside risk) , (17) S(iv) >_ 0, i~: > i0 (upside risk) be used ... ASSETS AND LIABILITIES 283 satisfying constraints (17). If not, iL will have to be increased and/or iv ...- Authors: James A Tilley
- Date: Jan 1980
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods
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Current Views on the Role of the Valuation Actuary
Current Views on the Role of the Valuation Actuary From the 1985 Valuation Actuary Symposium. Discussion ... valuation actuary ought to be a pol iceman. -17- The pr imary respons ib i l i ty of a va luat ...- Authors: Allan Affleck, Lawrence V Durland, Robert D Hogue, Michael E Mateja, R Stephen Radcliffe, James A Tilley, Stanley B Tulin, Michael R Tuohy
- Date: Jan 1985
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Professional Values>Public interest representation; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Actuarial Profession>Best practices; Financial Reporting & Accounting>Statutory accounting
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Valuing American Options in a Path Simulation Model
[5], [8], [9], [10], [12], [13], [14], [15], [16], [17], [18], [19], [20], [21], [22], and [23]. The standard ... of the 2nd AFIR Collo- quium 1 (1990): 237-66. 17. PEDEgSEN, H. W., AND SHIU, E. S. W. "Pricing of ...- Authors: James A Tilley
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators
essential points are covered in an article by Miller [17]. A yield curve model that is commonly used because ... and Fi- nance. Amsterdam: North-Holland, 1981. 17. MILLER, S. "A Continuous Arbitrage-Free Interest ...- Authors: James A Tilley
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Stochastic models
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An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators
essential points are covered in an article by Miller [17]. A yield curve model that is commonly used because ... Economics and Finance. Amsterdam: North-Holland, 1981. 17. M/LLER, S. "A Continuous Arbitrage-Free Interest ...- Authors: Michael F Davlin, Merlin F Jetton, James A Tilley, Hal Warren Pedersen
- Date: Oct 1992
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Stochastic models