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Immunization Under Stochastic Models of the Term Structure
Immunization Under Stochastic Models of the Term Structure The purpose of this paper is to survey some ... concerning the term structure of interest rates and discuss actuarial applications. The term structure of interest ...- 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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Capital Allocation by Possibilistic Linear Programming Approach
mean-variance method does not take skewness of the random rate of return into consideration. It only considers ... acceptable rate of return, which limited the probability of obtaining higher rate of return. If the skewness ...- 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
Varying ROE by Profit Center In a recent Society of Actuaries' regional meeting, there was a discussion ... an age-old actuarial problem. Within the same company, should the return on equity ROE target vary by ...- 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
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Randomly Compounded Interest
Randomly Compounded Interest The amount of 1 [i.e., the amount that $ 1 is worth after 1 year] for an ... that Pn[r,t] is a polynomial in r of degree n. Now suppose that the n compounding periods have lengths ...- 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