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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. To ...- Authors: Robert Reitano
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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An Alternative Frequency Dependence Model and its Applications
An Alternative Frequency Dependence Model and its Applications 2011 SOA Enterprise Risk Management Symposium, Chicago. This is the abstract of the referenced paper. Monte Carlo simulation; ...- Authors: SHUBIAO LI
- Date: Mar 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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Retirement Needs Framework, Chapter 9: Is Your Standard of Living Sustainable during Retirement? Ruin Probabilities, Asian Options, and Life Annuities
Retirement Needs Framework, Chapter 9: Is Your Standard of Living Sustainable during Retirement? Ruin Probabilities, Asian Options, and Life Annuities In this paper we compute the conditional ...- Authors: Moshe Arye Milevsky, Christopher Robinson
- Date: Jan 2000
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Pensions & Retirement>Retirement risks
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Inference for Logistic-type Models for the Force of Mortality
Inference for Logistic-type Models for the Force of Mortality Logistic-type models for the force of mortality like those introduced by Perks or Kannisto provide better fit to mortality data of ...- Authors: Louis G Doray
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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An Alternative Frequency Dependence Model and its Applications
An Alternative Frequency Dependence Model and its Applications 2011 SOA Enterprise Risk Management Symposium, Chicago. In this paper, a multivariate quasi-negative binomial distribution is ...- Authors: SHUBIAO LI
- Date: Mar 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Finance & Investments>Banking - Finance & Investments; Modeling & Statistical Methods
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Option Pricing by Esscher Transforms
Option Pricing by Esscher Transforms This paper shows that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Why the Current Practice of Operational Risk Management in Insurance is Fundamentally Flawed: Evidence From the Field
Why the Current Practice of Operational Risk Management in Insurance is Fundamentally Flawed: Evidence From the Field This paper evaluates the current practice of operational risk management in ...- Authors: Madhu Acharyya
- Date: Apr 2012
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Finance & Investments; Modeling & Statistical Methods
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Validating a Liability Model
Validating a Liability Model This paper reviews validation for the model of a life insurance company's liabilities with actual company data. Two methods are reviewed: static and dynamic ...- Authors: Richard D Olswang
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Modelling and Measuring Business Risk
Modelling and Measuring Business Risk This paper focuses on business risks rather than market, credit and operational risks. The author proposes a bottom-up approach for modelling and measuring ...- Authors: Klaus Bocker
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Assessing Regime Switching Equity Return Models
Assessing Regime Switching Equity Return Models The purpose of this paper is to help practitioners and regulators more accurately quantify the potential impact of market risk on insurance ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Finance & Investments; Modeling & Statistical Methods