Description: From a teaching session at the 2001 Valuation Actuary Symposium, held in Lake Buena Vista, Florida, November 29-30, 2001 Panelists analyze the modeling considerations in projecting asset cash flows and asset valuations.

Description: Presentation from the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, Canada. Fuzzy set theory is incorporated into times series analysis, giving fuzzy parameter estimates of models such as ARMA and GARCH. Examples are given, including returns on a stock and option valuation.

Description: Presented at August 2011 46th Actuarial Research Conference. Compression methods improve model run time. This talk discusses compression features, trade-offs, validation, and recommended practice.

Description: Panelists of this teaching session discuss: [1] policyholder and company behavior and its impact on model and assumptions, [2] model purpose and structure, data collection, and behavior models, and [3] the modeling process, including objectives, considerations, constraints, and validation. Session 10 of the 1996 Valuation Actuary Symposium.

Description: From a session at the 2000 Valuation Actuary Symposium held in Washington DC, September 14-15, 2000 Technical discussion of asset modeling concepts and techniques

Description: From a session at the Spring regional meeting of the Society of Actuaries held in Atlanta, Georgia, May 24-25, 1999 Year 2000 and Beyond: Society of Actuaries New Course: Applied Modeling Demonstration Charts 5 & 6 from that presentation

Description: From a session at the annual meeting of the Society of Actuaries held in Chicago, Illinois, October 15-18, 2000 Discussion of purposes and approaches for creating interest-rate scenarios.

Description: Presented at September 1995 Valuation Actuary Symposium. This session talks about the tools and methods for asset modeling, particularly mortgages and asset-backed securities.

Description: Presenter, an actuary with an advanced degree in statistics, provides some simple tools and guidelines – without complex formulas – about the distribution of a conditional tail expectation, how to draw correct inferences from the results of stochastic testing, and the uses and pitfalls of linear regression analyses. Session 24TS of the 2005 Valuation Actuary Symposium.

Description: We consider Libor market model and calibration process. We estimate some interest rate derivatives such as Caps and Swaptions. We use Monte Carlo methods with appropriate dynamics under spot measure and forward measure. Imposing martingale discretization property, the same quantities are estimated again to see a contrast or discrepancy in light of confidence interval. Based on algorithms discussed in the paper, “Arbitrage-free discretizations of lognormal forward Libor and swap rate models” by Glasserman, P and Zhao, X 2000, the algorithms are implemented in excel VBA. Starting with current market data such as FRAs and Bond Prices, we describe steps involved to estimate the price of interest rate derivatives such as Caps and Swaptions, which would be beneficial to the practitioners in the industry.