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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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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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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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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
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The Risks in Equity Investment for Pension Funds
The Risks in Equity Investment for Pension Funds This paper examines the risks involved with equity investing for pension ... .. 58... 59... ] Number I 19 .... 18 ... 17 .. 16 " 15 I . . . 14 . . . 13 . . .- Authors: James L Clare, Sidney H Cooper, Harry M Sarason, Conrad Siegel, Frank L Griffin, Geoffrey N Calvert, John Dyer, Fergus J McDiarmid, Dennis N Warters, Wilmer A Jenkins, Harold R Lawson, William M. Rae, M. Albert Linton
- Date: Nov 1959
- Competency: External Forces & Industry Knowledge
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Asset modeling; Pensions & Retirement>Pension investments & asset liability management