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An Investment Actuary's Approach to ALM
defined in terms of the spot rates themselves, a direct solution which fo l lows the Whitaker- Henderson ... factors. It would certainly be more satisfying if a direct solution could be achieved which applied the smoothness ...- Authors: Application Administrator
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Risk measurement - Finance & 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