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Statistical Tests of the Lognormal Distribution as a Basis for Interest Rate Changes
Statistical Tests of the Lognormal Distribution as a Basis for Interest Rate Changes This paper identifies ... underlying the use of the lognormal distribution for modeling the periodic change in the interest rate of a given ...- 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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Interest Rate Model Risk
Actuary Symposium. The purpose of this session is to enhance understanding of what it means to have ... based on cash-flow testing by taking the audience into the world of interest rate models and interest rate ...- 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
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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 a ... policy-year model for GAAP valuation of reinsurance accepted on the coinsurance and modified coinsurance ...- 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