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Interest Scenarios
Interest Scenarios From a session at the annual meeting of the Society of Actuaries held in Chicago, Illinois, October 15-18, 2000 Discussion of purposes and approaches for creating ...- Authors: Application Administrator, John M Bragg, Larry M Gorski, John B Gould, Regina Lefkowitz, Sarah Christiansen, Jeffrey S Roth, John D Marcsik, Vladimir S Ladyzhets
- Date: Oct 2000
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Public Policy
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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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Modeler Q&A with David Yu
Modeler Q&A with David Yu Modeling experience sharing by David Yu who leads the retirement product and asset model development team within Prudential Financial Modeling ...- Authors: Hoi Kwan, Donghai Yu
- Date: Nov 2018
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: The Modeling Platform
- Topics: Annuities>Group plans - Annuities; Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Deterministic models; Modeling & Statistical Methods>Scenario generation; 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
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Realized Return Optimization. A New Approach to Liability Funding
Realized Return Optimization. A New Approach to Liability Funding This presentation outlines strategies for optimal return on bonds and presents the advantages of liability driven investing.- Authors: Prakash A Shimpi
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling