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Portfolio Optimization in Corporate Models
Design and future maintenance of an asset portfolio backing a new line of business is critical for proper ... require the user to specify the asset and liability attributes and cash flows into the program. The programmer ...- Authors: William L Babcock, Steven Craighead
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Economic Scenario Generator for Insurance and Pension Rational Decision Making Under Uncertainty
Economic Scenario Generator for Insurance and Pension Rational Decision Making Under Uncertainty In ... presentation, the authors develop a stochastic generator for the generation of scenarios of the S & P ...- Authors: Mark S Tenney, Steven Craighead
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics>Financial markets
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Economic Scenario Generator for Insurance and Pension Rational Decision Making Under Uncertainty
Economic Scenario Generator for Insurance and Pension Rational Decision Making Under Uncertainty This ... from the 32nd Actuarial Research Conference develops a stochastic generator for the generation of scenarios ...- Authors: Mark S Tenney, Steven Craighead
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics; Modeling & Statistical Methods>Scenario generation
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Extreme Value Statistics, Resampling, and Insolvency Testing
Testing By the use of resampling and extreme value statistics we will develop a method to reduce the time and ... costs of testing insurance company insolvency. Most ruin models require assumptions about the surplus ...- Authors: Steven Craighead
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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Chaotic Analysis on U.S. Treasury Interest Rates
This paper analyzes the U. S. Treasury monthly interest rates from 1953 to 1992, and the daily rates from ... forms of chaotic behavior. The primary analysis was in determining the Burst Exponent by the use of Rescaled ...- Authors: Steven Craighead
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics; Finance & Investments; Modeling & Statistical Methods
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Bayesian Graduation
modifications of the Kimeldorf-Jones Bayesian graduation method. These enhancements entail the use of time series ... decomposition. By augmenting the existing method one can empirically smooth the Kimeldorf-Jones technique ...- Authors: Steven Craighead
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Bayesian methods
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Differential Equation Model For Yield Curves
solutions have yield curve shapes. The paper also examines the relevance of the model with historical monthly ... monthly U. S. Treasury nominal rates. From the Actuarial Research Clearing House 1992 Vol. 1 . Yield ...- Authors: Steven Craighead
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling; Technology & Applications>Analytics and informatics