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Multivariate Duration Analysis
approximation from 0.0136% to 0.0066%. The primary limitation of the parallel shift approach is that ... basis to model P(i) and an option-pricing model or direct calculation, D~io) and C~io) can be estimated discretely ...- Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Cash-Flow Matching and Linear Programming Duality
Cash-Flow Matching and Linear Programming Duality This paper applies the duality theory ... linearization given in Section IV of [15] is a direct consequence of the duality theory of linear programming ...- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management
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The Matching of Assets and Liabilities
The Matching of Assets and Liabilities This paper investigates how the concepts of asset-liability ... actuaries and investment officers recognize that two primary objec- tives of investment policy are security ...- Authors: James A Tilley
- Date: Jan 1980
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods