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GMDB Pricing:Comparing a Lognormal Model to a Regime-SwitchingLognormal Model
GMDB Pricing:Comparing a Lognormal Model to a Regime-SwitchingLognormal Model A paper entitled “A Regime-Switching Model of Long-Term Stock Returns” appears in the April 2001 issue of the North ...- Authors: Robert Stone
- Date: Oct 2002
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Layering Your Own Views into a Stochastic Simulation - Without a Recalibration
Layering Your Own Views into a Stochastic Simulation - Without a Recalibration Provides a metric based on the concept of "entropy" from information theory/signal processing, for ...- Authors: Tony Dardis, Loic Grandchamp-Desraux, David Antonio
- Date: Aug 2013
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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What Makes an Economic Scenario Generator "Realistic"?
What Makes an Economic Scenario Generator "Realistic"? Explains considerations for stochastic modeling of credit spreads, inflation and exchange rate risk. credit risk;foreign ...- Authors: Jonathan Mossman
- Date: Aug 2015
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models