1
-
3
of
3
results (0.77 seconds)
Sort By:
-
Random Switching Times Among Randomly Parameterized Regimes of Random Interest Rate Scenarios
that we will present evolved out of a practi- tioners e¤orts to make sense of the traditional mean-reverting ... adequacy decisions Throughout the 1990s and into the 2000s the author provided the asset ade- quacy ...- Authors: James Bridgeman
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
-
Esscher Approximations for Maximum Likelihood Estimates - Exploratory Ideas
Esscher Approximations for Maximum Likelihood Estimates - Exploratory Ideas The series ... density function, known to actuaries by Esscher's name and to statisticians as the saddlepoint approximation ...- Authors: James Bridgeman
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Stochastic models
-
Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes
Moments ... to: ln(rt) = ln(r0) (1 F )t + p dt t dtX s=1 Nt(s1)dt (1 F )sdt + ln(T0) h (1 F )(tt1)+ ... F )(ttj+1)+ (1 F )(ttj)+ i +dt t dtX s=1 Dt(s1)dt (1 F )sdt (1.3) (the slightly more complicated ...- Authors: James Bridgeman
- Date: Dec 2007
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models