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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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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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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