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A Black Swan Test
not within the data set used to parameterize their risk models. We suggest the adop¬tion of a terminology ... and communicate a test of the stability of model results.” Risk measurement; 11046 8/1/2009 12:00:00 ...- Authors: David Ingram
- Date: Aug 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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Econophysics: Making Money before Doomsday
a movement known as “econophysics” of physicists modeling economic systems, including capital markets ... studying the out-of-equilibrium dynamics of complex systems. A version of this article appeared in The Actuary ...- Authors: Shane Francis Whelan
- Date: Feb 2005
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Economics>Financial markets; Modeling & Statistical Methods
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The Investment Models of a Finnish Pension Company
The Investment Models of a Finnish Pension Company The article discusses the investment models of The ... Ilmarinen, one of the companies managing the statutory employment pension in Finland. The parts are: financial ...- Authors: Antero Ranne
- Date: Aug 1999
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Global Perspectives; Modeling & Statistical Methods; Pensions & Retirement
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2003 Stochastic Modeling Symposium
2003 Stochastic Modeling Symposium Announcement of an upcoming 2003 Stochastic Modeling Symposium. ... Scenario generation=Scenario generators=Economic scenario generators;Stochastic models; 28444 7/1/2003 ...- Authors: Martin Roy
- Date: Jul 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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The Impact of Stock Price Distributions on Selecting a Model to Value Share-Based Payments Under FASB Statement No. 123R
The Impact of Stock Price Distributions on Selecting a Model to Value Share-Based Payments Under FASB ... article discusses facts and issues related to the selection of a stock’s price distribution. Asset mode ...- Authors: Michael Burgess
- Date: Aug 2008
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Financial Reporting & Accounting; Modeling & Statistical Methods
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Modeling Assumptions
fundamental modeling assumption — the choice of a benchmark rate or risk-free rate. The author looks at this bond ... bond market assumption as a case study of how one needs to monitor fundamental market changes for their ...- Authors: Catherine Ehrlich
- Date: Feb 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Economics>Financial markets; Modeling & Statistical Methods
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Interest Rate Regimes - An Empirical Description
about interest rate models, the author develops an empirical description of the term “interest rate regime ... regime,” and looks at the relationship between changes in yield curves and moving to a new interest rate ...- Authors: Joseph Koltisko
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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Beware stochastic model risk!
Beware stochastic model risk! The article warns against treating the results of a stochastic model with more ... describes some hidden risks involved with choice of model and calibration. Statistical methods 9/17/2019 ...- Authors: Stephen Strommen
- Date: Sep 2019
- Competency: Professional Values; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
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Canadian Dollar Time Series
Canadian Dollar Time Series What is going on with the exchange rate, anyway? In 2002, $1 U.S. bought $C ...- Authors: Joseph Koltisko
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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Earnings Focused Asset-Liability Management
Earnings Focused Asset-Liability Management There ... are two main techniques for evaluating the financial impact of interest rate movements on insurance companies: ...- Authors: Barry Freedman
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods