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Optimal Investment Allocation in a Jump Diffusion Risk Model with Investment: A Numerical Analysis of Several Examples
percentage alpha can change the ruin probability is about 17 8 1 20 40 60 0.01 0.05 0.1 0.15 0.2 0 0 ... - Pure Diffusion Model percent at the surplus of 17. For the interest rate of 0.2, the largest maximum ...- Authors: JENG ENG LIN, BLANE A LAUBIS
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Capital markets; Modeling & Statistical Methods>Asset modeling
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Multivariate Immunization Theory
shifts was noted by Ingersoll, Skelton and Weil [17], Fong and Vasicek [12], and Shiu [31]. The importance ... Management. Homewood, Ill.: Dow Jones- Irwin, 1990. 17. INGERSOLL, J., SKELTON, J., AND WEIL, R. "Duration ...- Authors: Robert Reitano, Elias Shiu
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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The Sensitivity of Cash-Flow Analysis to the Choice of Statistical Model for Interest Rate Changes
also ~fat- tailed ~ and is discussed in [71 and [17]. Parameter c~ is referred to as the characteristic ... property. For example, while a mixture of normals [17, pp. 49-51] has fatter tails than the normal distribution ...- Authors: Gordon E Klein
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Asset modeling
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C-3 Task Force Report - The Impact of C-3 Risk of Combining Lines of Business
C-3 Task Force ... minimum of 10% 75% of 65-70 male ultimate, age 35 $17 per. policy maintenance expense ~l.l~~ Investment ... 92 6.92 7.92 8.92 9.92 % 12.92 14.07 :E 17:53 YIEW - i - 4-Year Bond NMR 3.03 ...- Authors: Peter B Deakins
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling
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Interest Rate Volatility and Equilibrium Models of the Term Structure: Empirical Evidence
Interest Rate Volatility and Equilibrium Models of the Term Structure: Empirical Evidence ... New Methodology", Journal of Financial Economics 17, 143-173. 12. Stambaugh, R.F., [1986], MThe Information ...- Authors: Marc A Godin
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling
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Multivariate Duration Analysis
= (1 +0 -1. A number of years later, Redington [17] and Samuelson [25] discovered a very similar formula ... York: Nata l Bureau of Economic Research, 1938. 17. REbINGTON, F.M. "Review of the Principle of Life ...- Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling