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Funding for Investment Risks
of the group overseeing the Society's continuing care retirement communities (CCRC) research project. ... about 40%. So, default rates are more amenable to direct review than loss experience. Related to this we ...- Authors: Application Administrator, David A Hall, Daniel E O'Sullivan, Robert Reitano
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments
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Multivariate Duration Analysis
the approximation from 0.0136% to 0.0066%. The primary limitation of the parallel shift approach is that ... basis to model P(i) and an option-pricing model or direct calculation, Du(i0) and Cu(io) can be estimated ...- Authors: Robert Reitano
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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A Multivariate Approach to Duration Analysis
Sensitivity Price Sensitivity REFERENCES Direct Yield Curve Approach Yield Curve Slope Approach ... case, because D(O) and CCO) are small. The primary limitation of the parallel shift approach is that ...- Authors: Robert Reitano
- Date: Jan 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling
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Multivariate Duration Analysis
approximation from 0.0136% to 0.0066%. The primary limitation of the parallel shift approach is that ... basis to model P(i) and an option-pricing model or direct calculation, D~io) and C~io) can be estimated discretely ...- 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
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COURSE 230 LIGHT- A LESS FILLING OVERVIEW OF THE FELLOWSHIP EXAM ON PRINCIPLES OF ASSET-LIABILITY MANAGEMENT
Policy & ResearchDepartment at the John Hancock. My primary interests in researchand applications,besidesthe ... rates are 8%, and, if they stay there, you won't care. In Chart 10, we see a risk of a loss to the right ...- Authors: Robert Reitano, Judy L Strachan, Gordon E Klein
- Date: Apr 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Asset liability management
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Mortality Cost Valuation of Underwriting Requirements
Transactions of the Society of Actuaries. The primary advantage of the actuarial approach is that the ... treatments and producing a range of values. The primary advantage of the underwriting method is that it ...- 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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Nonparallel Yield Curve Shifts and Convexity
option-pricing model. The second method is the direct estimation approach, and the formula used is analogous ... Although this mechanical approach provides a direct basis for generating numbers and relating the ...- 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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A Multivariate Approach to Immunization Theory
case where N - (1, ••• ,1), the parallel shift direct ion vector, (3.14) reduces to: (3. 15) O(P;iO) ... .;;;. 0, local irl1rll~lrllzatl':'n 11'1 tOle direct i,;:,n of M is assl .. wed. : I Results on global ...- 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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Asset Share Mathematics
Asset Share Mathematics This paper presents a new insight into the mathematical structure of asset ... be a problem of interest only; ~TK and ,TK take care of the contingencies. This discussion has the ...- 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