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Calibration of a Regime-Switching Interest Rate Model
Calibration of a Regime-Switching Interest Rate Model This presentation illustrates a calibration model against 60 years of historical data using a pragmatic mixture of filtering, maximum ...- Authors: James Bridgeman
- Date: Feb 2014
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Esscher Approximations for Maximum Likelihood Estimates - Exploratory Ideas
Esscher Approximations for Maximum Likelihood Estimates - Exploratory Ideas The series expansion of a probability density function, known to actuaries by Esscher's name and to statisticians ...- 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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The Effect of Global Warming on Discounting Methodology
The Effect of Global Warming on Discounting Methodology On October 30, 2006, the UK government's Stern Review on the Economics of Climate Change made startling claims about the present ...- Authors: James Bridgeman
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Economics; Modeling & Statistical Methods>Forecasting
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Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes
Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes Prior work indicates that a regime-switching stochastic model with randomized regime parameters creates a more ...- Authors: James Bridgeman
- Date: Dec 2007
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models
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Random Switching Times Among Randomly Parameterized Regimes of Random Interest Rate Scenarios
Random Switching Times Among Randomly Parameterized Regimes of Random Interest Rate Scenarios The behavior of extreme paths in the usual stochastic interest rate models is not nearly so plausible ...- Authors: James Bridgeman
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models