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Algorithms for Cash-Flow Matching
Algorithms for Cash-Flow Matching This paper presents enhancements to the classical cash-flow matching approach to developing fixed income portfolio investment strategy by allowing cash ...- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments
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Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Applications
Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Applications This paper presents a unifying non-Bayesian statistical method for ...- Authors: Bradley P Carlin, Beda Chan, Thomas Herzog, William L Roach, Elias Shiu, Patrick L Brockett, Josh Babier, Wojciech Szatzschneider, E S Rosenbloom
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession; Modeling & Statistical Methods
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Cash-Flow Matching and Linear Programming Duality
Cash-Flow Matching and Linear Programming Duality This paper applies the duality theory of linear programming to provide insights for generalizing and solving the cash-flow matching problem.- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management