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Statistical Tests of the Lognormal Distribution as a Basis for Interest Rate Changes
Statistical Tests of the Lognormal Distribution as a Basis for Interest Rate Changes This paper identifies ... underlying the use of the lognormal distribution for modeling the periodic change in the interest rate of a given ...- Authors: David N Becker, Douglas Doll, Thomas Herzog, Daniel W Tucker
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation
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Modeling Home Equity Conversion Mortgages
approach used to estimate the amount of a level-payment annuity payable as long as the person is alive and ... his/her house. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43 ...- Authors: Thomas Herzog, Tapen Sinha, Theresa R DiVenti, Application Administrator
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models
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Analyzing Recent Experience on FHA Investor Loans
describes a study undertaken to determine whether the Federal Housing Administration's 'FHA' ... 'non-occupant' loans should be modified. The sample data were analyzed using both Bayesian and ...- Authors: Thomas Herzog
- Date: Oct 1988
- Competency: External Forces & Industry Knowledge>External forces and business performance; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Bayesian methods; Public Policy
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Credibility: The Bayesian Model versus Bühlmann's Model
Credibility: The Bayesian Model versus Bühlmann's Model This paper examines the compatibility of the two ... models, in the hope that this exploration will prompt a greater cross-fertilization of ideas between ...- Authors: Thomas Herzog
- Date: Oct 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Bayesian methods
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Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Applications
to Actuarial Science: A Unification and Extension of Relevant Theory and Applications This paper presents ... into the determination of probability distributions and other finite measures and develops the statistical ...- Authors: Bradley P Carlin, Beda Chan, Thomas Herzog, William L Roach, Elias Shiu, Patrick L Brockett, Josh Babier, Wojciech Szatzschneider, E S Rosenbloom
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession; Modeling & Statistical Methods