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Cox, Ingersoll and Ross Models of Interest Rates
complicated. If I work with this process, I don't care about the nature of this Brownian motion. This ... (Figure 14). I can prove the following theorem. Do we care about risk, about interest rate models, in the real ...- Authors: Peter Tilley, Wojciech Szatzschneider
- Date: May 2002
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Forecasting
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Advanced Topics in Annuity Modeling
going on, then I think there needs to be more care in finding out exactly what that investment strategy ... I'll get rid of model cells and take greater care in terms of building a model with as few cells as ...- Authors: Francis Sabatini, Peter Tilley, Russell Osborn
- Date: Sep 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Modeling & Statistical Methods
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Risks in Investment Accumulation Products: Recent Research
Risks in Investment Accumulation Products: Recent Research 1999 SOA Annual Meeting, San Francisco. ... investment officer at Sun Life of Canada. His primary activity is asset/liability management, including ...- Authors: Steven Miller, Peter Tilley, Martin Leroux
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments; Modeling & Statistical Methods