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A Practical Guide to Interest Rate Generators for C-3 Risk Analysis
A Practical Guide to Interest Rate Generators for C-3 Risk Analysis This paper discusses interest rate generators which vary by intended purpose. The primary focus is on fairly elementary ...- Authors: Sarah Christiansen
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Scenario generation
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Statistical Tests of the Lognormal Distribution as a Basis for Interest Rate Changes
Statistical Tests of the Lognormal Distribution as a Basis for Interest Rate Changes This paper identifies several implicit assumptions underlying the use of the lognormal distribution for ...- Authors: David N Becker, Douglas Doll, Thomas Herzog, Daniel W Tucker
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation
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Interest Rate Scenarios
Interest Rate Scenarios This paper describes several methods of creating interest rate scenarios that the actuary can use for pricing analysis or asset-liability testing. Discussions of the paper ...- Authors: Merlin F Jetton
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Scenario generation