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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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The Risks in Equity Investment for Pension Funds
many situations which may arise. Basic Assuraptio~s To start with, we need a hypothetical employer and ... employees by age. This is shown in Table 1, which is taken from TABLE 1 ACTIVE EMPLOYEES Age N umber ...- Authors: James L Clare, Sidney H Cooper, Harry M Sarason, Conrad Siegel, Frank L Griffin, Geoffrey N Calvert, John Dyer, Fergus J McDiarmid, Dennis N Warters, Wilmer A Jenkins, Harold R Lawson, William M. Rae, M. Albert Linton
- Date: Nov 1959
- Competency: External Forces & Industry Knowledge
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Asset modeling; Pensions & Retirement>Pension investments & asset liability management
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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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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