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Statistical Tests of the Lognormal Distribution as a Basis for Interest Rate Changes
But 1 +17 =PT+ql/P,"; thus the lognormal assumption for bond prices implies that the In(1 +17) is normally ... are STATISTICAL TESTS OF LOONORMAL DISTRIBUTION 17 standardized techniques for collecting and recording ...- Authors: David N Becker, Douglas Doll, Thomas Herzog, Daniel W Tucker
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation
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A Policy-Year Model for GAAP Valuation of Coinsurance and Modified Coinsurance
A Policy-Year Model for GAAP Valuation of Coinsurance and Modified Coinsurance This paper presents ... year x, of future refunds. Gx = g~(l - Y2q,)Fx. (17) R~ = mrx(l - q.,)(l - wx)F, - mrx_tF~(l + i , ...- Authors: David N Becker, Michael Eckman
- Date: Jan 1981
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]; Modeling & Statistical Methods; Reinsurance>Coinsurance
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Interest Rate Model Risk
recommendation is that risk-neutral paths be used. Chart 17 displays the cumulative distribution functions for ... 133 1996 VALUATION ACTUARY SYMPOSIUM CHART 17 Interest Rate Model Results Millions $ 8 Present ...- Authors: David N Becker, Michael E Mateja, Douglas A George, Peter Fitton
- Date: Jan 1996
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods