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Applying the Cost of Capital Approach to Extrapolating an Implied Volatility Surface
Applying the Cost of Capital Approach to Extrapolating an Implied Volatility Surface Many insurers preparing market consistent financial statements encounter the issue of developing volatility ...- Authors: Application Administrator
- Date: Aug 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Coherent Distortion Risk Measures in Portfolio Selection
Coherent Distortion Risk Measures in Portfolio Selection The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear ...- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Modeling & Statistical Methods; Public Policy
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Asset Modeling Best Practices in the Current Environment
Asset Modeling Best Practices in the Current Environment Asset cash flow modeling and asset assumptions are growing in importance with PBR especially considering the low interest rate ...- Authors: Marc Altschull, Daniel B Finn, Frederick J. Hill, Patrick Ledlee
- Date: Aug 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods; Modeling & Statistical Methods>Asset modeling
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Asset/Liability Management
Asset/Liability Management 1995 Valuation Actuary Symposium. In this session panelists discussed how cash-flow testing models can be used to provide significant Asset/Liability Management ...- Authors: Mark Davis, Frederick W Jackson
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods
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Chaotic Analysis on U.S. Treasury Interest Rates
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 1981 to 1992 for various forms of ...- 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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Computing Tight Bounds for Insurance Payments with Nonlinear Risk
Computing Tight Bounds for Insurance Payments with Nonlinear Risk This is a presentation on computing tight bounds for insurance payments with nonlinear risk. Semi-definite Programming is ...- Authors: SHU ZHANG, Man Hong Wong
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Risks in Investment Accumulation Products: Recent Research
Risks in Investment Accumulation Products: Recent Research 1999 SOA Annual Meeting, San Francisco. This panel expanded on earlier research to examine the potential costs of long-term ...- Authors: Steven Miller, Peter Tilley, Martin Leroux
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments; Modeling & Statistical Methods
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Specific Asset Modeling Issues and Applications Beyond Cash-Flow Testing
Specific Asset Modeling Issues and Applications Beyond Cash-Flow Testing This session from the 1994 Valuation Actuary Symposium covers the collapse of the real estate market in the early ...- Authors: Jeremy Brown, Catherine Ehrlich, Douglas A George
- Date: Jan 1994
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods
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Management Uses of Cash-Flow Testing
Management Uses of Cash-Flow Testing From a session at the 2000 Valuation Actuary Symposium held in Washington DC, September 14-15, 2000 In this session, panelists discussed how they have ...- Authors: Willard Rinehimer, Robert Buckner, Robert Welander
- Date: Sep 2000
- Competency: Communication; External Forces & Industry Knowledge>Actuarial theory in business context; Relationship Management>Relationships and trust; Results-Oriented Solutions>Actionable recommendations; Strategic Insight and Integration>Influence decisions
- Topics: Finance & Investments>Asset liability management; Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods
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Solution of the Risk Load Problem of Effect on Variability
Solution of the Risk Load Problem of Effect on Variability The method described in this paper is to allocate surplus to each category of business and reserves in proportion to its estimated ...- Authors: Daniel F Gogol
- Date: Jan 1993
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods