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Immunization Under Stochastic Models of the Term Structure
(b) The price P(t,s) at time t of a pure discount bond which matures at time s (t<~s) is determined by ... assessment at time t, of the segment /r~T'l. t < T< s} of the spot rate process over the term of the bond ...- Authors: Phelim Boyle
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Modeling & Statistical Methods>Stochastic models
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Randomly Compounded Interest
random variable with a uniform distribution on a set S is such that the pr()bat)ility of the value of the ... in any part icular subset of S is proport ional to its size. Thus, if S ix the unit interval [0, 1] ...- Authors: WALTER A PRANGER, Eric Rieders
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic value
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Capital Allocation by Possibilistic Linear Programming Approach
acknowledged 463 1. Models Consider N asset classes, S~, $2 ...... SN. the problem is to determine allocation ... portfolio is N ,~' ?,' ~ ~ ~ ;~~~'112~ ~ (~ t~u ¢ ] t-] g [ Allocation weights-t l, -~e . . .- Authors: Lijia Guo, Zhen Huang
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Varying ROE by Profit Center
B, versu. 10'!!. from Product A. For inltance, a S 100 IERS on both Producll A and B should ,..,Hci, ... Without requi .. d surpluo, Corporate views Table I: Averase Rat .. of Return Item Product A Product ...- Authors: Joseph H Tan
- Date: Jan 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Pricing - Annuities; Finance & Investments>Capital management - Finance & Investments; Life Insurance>Pricing - Life Insurance