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Stochastic Control Theory for Optimal Investment
surplus u : ( ) Pr{ ( ) 0 for some 0}u U t tψ = < ≥ (1) and ( ) Pr{ ( ) 0 for some }u s U t t sψ ... sψ , = < ≤ where ( )U t is the amount of business surplus at time t . One would like to minimize these ...- Authors: MARITINA TOLEDO CASTILLO, Gilbert Parrocha
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Hedging Equity-Linked Products Under Stochastic Volatility Models
exp(iuxt + Cj(u, τ)θ + Dj(u, τ)vt) iu ) du, for j = 0, 1, with Cj(u, τ) and Dj(u, τ) functions of u, τ , κ ... discusses product design and pricing techniques Tiong (2000) and Lee (2003) present closed-form expressions ...- Authors: Anne MacKay
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Multivariate Stochastic Immunization Theory
m- 1, the collection of residuals: {ziij - ~t u N,},j = 1, 2, ... (1.3) is as small as possible ... If P(i)=S(i) denotes the price function of surplus or net worth, where S(i)=A(i)-L(i) and S(io)#0, the ...- Authors: Robert Reitano
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models