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Optimal Investment Allocation in a Jump Diffusion Risk Model with Investment: A Numerical Analysis of Several Examples
an ex- ponential utility function. Hipp and Plum (2000) considered the optimal investment for insurers ... Brownian motion. Deelstra, Grasselli and Koehl (2000) studied the stock-bond optimal investment in a ...- Authors: JENG ENG LIN, BLANE A LAUBIS
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Capital markets; Modeling & Statistical Methods>Asset modeling
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The Sensitivity of Cash-Flow Analysis to the Choice of Statistical Model for Interest Rate Changes
found that the random variables l,+z Jt = log, u , (1) I, 79 80 TRANSACTIONS, VOLUME XLV ... CASH-FLOW ANALYSIS 8 1 It+] = Ire "z', (3) where s is the standard deviation of the stochastic process ...- Authors: Gordon E Klein
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Asset modeling
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C-3 Task Force Report - The Impact of C-3 Risk of Combining Lines of Business
fluctuations in experience rates, such as the mortality rate. 437 438 TSA 1991-92 REPORTS Typically ... when rates rise. On the other hand, deferred- annuity cash flows typically fluctuate with interest rate ...- Authors: Peter B Deakins
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling
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Interest Rate Volatility and Equilibrium Models of the Term Structure: Empirical Evidence
history of zero coupon bonds (strips) from the U.S. government securities market. Although the CIR model ... explain yield curve volatility behavior. 200 TABLE OF CONTENTS I. INTRODUCTION . . . . . . . .- Authors: Marc A Godin
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling
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Analysis of Asset Spread Benchmarks - Appendix A
(Baa3/BBB-/BBB- or above) using the middle rating of Moody’s, S&P, and Fitch. - At least 1-year until final maturity ... Registration Rights; a security with both SEC Regulation S and SEC Rule 144A tranches is treated as one security ...- Authors: Society of Actuaries
- Date: Apr 2008
- Competency: External Forces & Industry Knowledge
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Asset modeling
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Multivariate Immunization Theory
Letting r(s, t) denote the rate used to discount cash flows from time t to time s, or the implied (t-s)-period ... at time s, where 0<s<t, we have that: [1 + r(0,t)] -t = [1 + r(0,s)] -s [1 + r(s,t)] -<t-s). Hence ...- Authors: Robert Reitano, Elias Shiu
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Analysis of Asset Spread Benchmarks - Analysis B
1 U.S. Aggregate 1/31/96 1,996 0.285725 n/a 1 U.S. Aggregate 2/29/96 1,996 0.293845 n/a 1 U.S. Aggregate ... 1 U.S. Aggregate 4/30/96 1,996 0.298032 n/a 1 U.S. Aggregate 5/31/96 1,996 0.288584 n/a 1 U.S. Aggregate ...- Authors: Society of Actuaries
- Date: Apr 2008
- Competency: External Forces & Industry Knowledge
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Asset modeling
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Immunization Theory: A Simplified Example
L( 6) = r; vt FO(t)dt. S( 6): Surplus valued at force of interest 6, S(6) = A(6) - L(6). TO minimize ... minimize the effect of interest rate change on S(6), an investment portfolio is sought such that at the ...- Authors: James C Hickman, LORI LYNN SCHUMACHER, DAVID C WU
- Date: Jan 1983
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling
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Multivariate Duration Analysis
the upper limit of integration with s, say, then substituting s = 1 into the second-order Taylor expansion ... 0 0--N DN(io) = D~(io) - C~io), (4.6) 0 O-~s Dk(io) = Os(io) Dk(io) - Csk(io), (4.7) a O(io) ...- Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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C-1 Task Force Report - A Cash-Flow Scenario Methodology for C-1 Risk: Preliminary Report
gain tail [3]. Richard Bookstaber and David Jacob [S] studied total return over five years for different ... Specifications and Assumptions l Single-Premium Deferred Annuity l Projecting a single block of new issues l 5 ...- Authors: Joseph J Buff
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling