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Multivariate Immunization Theory
shifts was noted by Ingersoll, Skelton and Weil [17], Fong and Vasicek [12], and Shiu [31]. The importance ... Management. Homewood, Ill.: Dow Jones- Irwin, 1990. 17. INGERSOLL, J., SKELTON, J., AND WEIL, R. "Duration ...- Authors: Robert Reitano, Elias Shiu
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Asset Share Mathematics
Asset Share Mathematics ... 3 . . . . . 4 . . . . '. 5 . . . . . 16.. 17.. 18.. 19.. ~0.. /t-I ,000.000 799. 160 ... . 14 . . . . . 15 . . . . . 16. . . : . 17 . . . . . 18 . . . . . 19 . . . . . 20 . .- Authors: Pierre Chouinard, Mark Evans, Peyton J Huffman, Frank C Metz, Robert Reitano, James A Tilley
- Date: Oct 1978
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Financial Reporting & Accounting
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Nonparallel Yield Curve Shifts and Convexity
+ Ai) = A(iol + Ai~, io2 + Ai2, ..., ion + Aim), (17) where we treat io as fixed and Ai as the vector ... n2n3, etc.) require the more theoretical model in (17) for their development and understanding. First ...- Authors: Robert Reitano
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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Mortality Cost Valuation of Underwriting Requirements
S H S E VI(4 = VM + ~ ( L n + X u) - - L E , (17) 1 - rn ! - r E and bounds for V37/can be produced ... parameters can then be used to predict VM and V~ from (17), (22), and (23). As was noted earlier, ~7~ should ...- Authors: Robert Reitano
- Date: Oct 1982
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Underwriting - Life Insurance
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A Multivariate Approach to Immunization Theory
dkP(11 - ~ dJQIA11dkAJ(1) - dQ·dkA, J from which (A.17) follows. Taking second derivatives: d'I<.P(il ... Using 12.7), IR.21) follows lmmediately from IA. 17). Similarly, 12.8) makes the first term on the ...- Authors: Robert Reitano
- Date: Aug 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods
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Multivariate Stochastic Immunization Theory
the inner product: (x,y)~=xK~y, discussed in (A. 17) of the Appendix. Also, equality holds if and only ... Spread Leverage," The Journal of Portfolio Management 17 (Spring 1991 ): 82-87. 10. REITANO, ROBERT R. "Multivariate ...- Authors: Robert Reitano
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Multivariate Duration Analysis
= (1 +0 -1. A number of years later, Redington [17] and Samuelson [25] discovered a very similar formula ... York: Nata l Bureau of Economic Research, 1938. 17. REbINGTON, F.M. "Review of the Principle of Life ...- Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling