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Chaotic Analysis on U.S. Treasury Interest Rates
Chaotic Analysis on U.S. Treasury Interest Rates This paper analyzes the U. S. Treasury monthly interest rates from 1953 to 1992, and the daily rates from 1981 to 1992 for various forms of ...- Authors: Steven Craighead
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics; Finance & Investments; Modeling & Statistical Methods
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Solution of the Risk Load Problem of Effect on Variability
Solution of the Risk Load Problem of Effect on Variability The method described in this paper is to allocate surplus to each category of business and reserves in proportion to its estimated ...- Authors: Daniel F Gogol
- Date: Jan 1993
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Catastrophe Risk Bonds
Catastrophe Risk Bonds This paper examines the pricing of catastrophe risk bonds. Catastrophe risk cannot be hedged by traditional securities. Therefore the pricing of catastrophe risk bonds ...- Authors: Samuel Cox, Hal Warren Pedersen
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Total Return, Duration and Convexity
Total Return, Duration and Convexity In writing this note on the relationship between total return, duration and convexity, it was author's intent to produce a better understanding of ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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A Multivariate Approach to Immunization Theory
A Multivariate Approach to Immunization Theory The author previously wrote about extending the general nonparallel shlft approach to duration analysis. This paper explores the immunization ...- Authors: Robert Reitano
- Date: Aug 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods
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Option Bounds in Discrete Time with Transaction Costs
Option Bounds in Discrete Time with Transaction Costs Option bounds are obtained in a discrete-time framework with transaction costs. The model represents an extension of the Cox-Ross-Rubinstein ...- Authors: Phelim Boyle, Ton Vorst
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Environment and Financial Markets
Environment and Financial Markets This paper proposes to put the environment into financial markets. It explains how to do it, and why the financial approach is practically the only one able to ...- Authors: Wojciech Szatzschneider
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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A Linear Programming Approach to Maximizing Policyholder Value
A Linear Programming Approach to Maximizing Policyholder Value This paper explores the use of linear programming as a tool to guide policyholders in getting the most value out of their combined ...- Authors: Michael Conwill
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Life Insurance>Universal life; Modeling & Statistical Methods
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Annuities And Life Insurance Under Random Interest Rates
Annuities And Life Insurance Under Random Interest Rates A study of the effect of random interest rates on life insurance programs and on annuities both certain and non-certain. This is done ...- Authors: Benny Levikson, Rami Yosef
- Date: Jan 2001
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods
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Bounds on Expected Values of Insurance Payments and Option Prices
Bounds on Expected Values of Insurance Payments and Option Prices This paper presents best upper and lower bounds on the expected value of a reinsurance payment under the terms of a contract ...- Authors: Samuel Cox
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance