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Multivariate Modeling of Asset Returns for Investment Guarantees Valuation
Multivariate Modeling of Asset Returns for Investment Guarantees Valuation Presentation at the 41st ... sed: RS2LN w/ 1 corr. matrix and CCORR GARCH 17 of 20 Monte Carlo Monte Carlo experimentexperiment ...- Authors: Christian-Marc Panneton, Mathieu Boudreault
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
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Conditional Stochastic Interest Rate Models in Life Contingencies
and (2) reduce to 1T F ~t = 202 {G(t) - H(t)} (17) ~t and (~t +~s)TF(~t +~s ) = 20212{G(t) - H(t)} ... 2o2G(t) and 2o2{2G(t) + 2G(s) - G( I t - s [ )} for (17) and (18) respect ive ly . The d i f fe rence ...- Authors: Harry H Panjer, UNKNOWN David Bellhouse
- Date: Jan 1981
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Stochastic Analysis of Long-Term Multiple-Decrement Contracts
.................................................17 Introduction to Stochastic Lapse .............. ... ................................................ 17 Stochastic Lapse Generator ....................- Authors: Chad R Runchey, MATTHEW F CLARK
- Date: Aug 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Practice Forum
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Stochastic models
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Implementation of Arbitrage-free Discretization of Interest Rate Dynamics and Calibration via Swaptions and Caps in Excel VBA
Arbitrage-free Discretization of Interest Rate Dynamics 17 We can generate LIBOR using the following formula ... m To 7 term = 1 - (Cells(18 + i, 1 + m) / Cells(17 + i, 1 + m)) mx = WorksheetFunction.Max(0, term) ...- Authors: Ohoe Kim, Swathi D Gaddam
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Economics>Financial economics; Finance & Investments>Derivatives; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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Esscher Approximations for Maximum Likelihood Estimates - Exploratory Ideas
Esscher ... compare moments related to fX with moments of ' 17 Everything else just keeps meticulous track ... n=0 (1)n (2n)? (2n)! H2n+j x a c 9>=>; (17) 19 where for the moment, again, we assume that ...- Authors: James Bridgeman
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Stochastic models
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Fuzzy Volatility Forecasts and Fuzzy Option Values
Fuzzy Volatility Forecasts and Fuzzy Option Values Presentation from the 41st Actuarial Research Conference ... yn(l)]2 = ω¯ 1− Φ1 − Φ2 − . . .Φr l−1∑ j=0 ψ 2 j . 17 / 35 Introduction Fuzzy Coefficient Class of ...- Authors: Ranee Thiagarajah
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Stochastic models
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A New Collective Risk Model
A New ... (16) One obtains easily E{D*(t) I = f ( t ) , (17) Var {D*(t)} -- Vat {D(t)} = Var {R(t)l . (18) ... < ~, 2. The Doob-Kac process (see refs. [10], [17]): u(t) = t, v(t) = l - t , o < t < 1 . 3.- Authors: John A Beekman, Ethan Stroh, Richard W Ziock
- Date: Oct 1973
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Stochastic models
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June Webinar Topic: Sensitivity Testing and Setting Margins, Plus a Fully Stochastic PBR Method
June Webinar Topic: Sensitivity Testing and Setting Margins, Plus a Fully Stochastic PBR Method Describes ... original purposes. SEPTEMBER 2017 SMALL TALK | 17 considered to be approximately the same level of ...- Authors: Mark Birdsall
- Date: Sep 2017
- Competency: Professional Values>Practice expertise; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Small Talk
- Topics: Life Insurance>Reserves - Life Insurance; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
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CSTEP: a HPC Platform for Scenario Reduction Research on Efficient Stochastic Modeling - Representative Scenario Approach
CSTEP: a HPC Platform for Scenario Reduction Research on Efficient Stochastic Modeling - Representative ... Parametric Model Fitting on Tail Distributions”, 1-17, New Ideas in Symbolic Computation: Proceedings ...- Authors: Paul H Johnson, Yvonne Chueh
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Stochastic models; Technology & Applications>Analytics and informatics
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Stochastic Modeling in Health Insurance
New Orleans Health/Pension Spring Meeting June 15–17, 2005 Session 76PD Stochastic Modeling in ... where Stochastic Modeling in Health Insurance 17 it is not normal, you can see that our standard ...- Authors: Armand Yambao, Jonathan Hendrickson, Edward McEllin
- Date: Jun 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models