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The Investment Process and Present Value Calculations
The Investment Process and Present Value Calculations After reading the Panjer-Bellhouse paper in the ... o) = ~(t) + (u) O 38 (~7) Substituting (17) into (3), we finally arrive at f ~(t,t o) = 7i~(u) ...- Authors: James A Tilley
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Professional Values>Practice expertise
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models
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Valuing American Options in a Path Simulation Model
[8], [9], [10], [12], [13], [14], [15], [16], [17], [18], [19], [20], [21], [22], and [23]. The standard ... Proceedings of the 2nd AFIR Colloquium 1 (1990): 237-66. 17. PEDERSEN, H. W., AND SHIU, E. S. W. "Pricing of ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators
essential points are covered in an article by Miller [17]. A yield curve model that is commonly used because ... Economics and Finance. Amsterdam: North-Holland, 1981. 17. M/LLER, S. "A Continuous Arbitrage-Free Interest ...- Authors: Michael F Davlin, Merlin F Jetton, James A Tilley, Hal Warren Pedersen
- Date: Oct 1992
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Stochastic models