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Multivariate Duration Analysis
Multivariate Duration Analysis In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. To ...- Authors: Robert Reitano
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: 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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A Statistical Analysis of Banded Data with Applications
A Statistical Analysis of Banded Data with Applications The goal of this paper is to develop best possible estimates for the higher moments of a distribution of a positive bounded random ...- Authors: Robert Reitano
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Claims - Life Insurance; Modeling & Statistical Methods