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A New Approach to Duration
A New Approach to Duration This paper describes a new approach of calculating duration by taking a portfolio perspective utilizing the idea of ... l in Je t ton A l l s tate Li fe September 17, 1993 482 ...- Authors: Merlin F Jetton
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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Macro Pricing: A Comprehensive Product Development Process
Macro Pricing: A Comprehensive Product Development Process This paper outlines the limitations inherent ... displacement in this example is shown in Figure 17. 70% FIGURE 17 UL DISPLACEMENT 60% 50% (3 ~30% ...- Authors: Shane A Chalke, Linden Cole, Arnold Dicke, Matthew Easley, Charles S Fuhrer, James C Hickman, Merlin F Jetton, Thomas Kilcoyne, Frank C Metz, Harry Ploss, Colin M Ramsay, DAVID LEE
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Pricing - Life Insurance
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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
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Interest Rate Scenarios
Interest Rate Scenarios This paper describes several methods of creating interest rate scenarios ... [3]. Indeed, Bookstaber, Jacob and Langsam [1, p. 17] write: "Despite the pernicious nature of such lattice ...- Authors: Merlin F Jetton
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Scenario generation