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A Statistical Analysis of Banded Data with Applications
A Statistical Analysis of Banded Data with Applications The goal of this paper is to develop best possible estimates for the higher moments of a distribution of a positive bounded random ...- Authors: Robert Reitano
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Claims - Life Insurance; Modeling & Statistical Methods
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Multivariate Duration Analysis
Multivariate Duration Analysis In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. A ...- 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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Multivariate Stochastic Immunization Theory
Multivariate Stochastic Immunization Theory With this paper, a new theory of immunization is introduced in which the approach is multivariate, and the goal is stochastic in the sense of ...- 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 Immunization Theory
Multivariate Immunization Theory This paper discusses extending the general nonparallel shift approach to duration analysis developed previously and explores the immunization model within the ...- 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