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A Cost of Capital Approach to Extrapolating an Implied Volatility Surface
A Cost of Capital Approach to Extrapolating an Implied Volatility Surface This paper develops an option pricing model that takes cost of capital concepts as its foundation rather than dynamic ...- Authors: Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Estimation methods
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Economic Capital: A Case Study To Analyze Longevity Risk
Economic Capital: A Case Study To Analyze Longevity Risk Feature article discussing how insurers have reflected volatility in asset return assumptions when determining capital requirements, but ...- Authors: Stuart Silverman
- Date: Aug 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Stochastic models