Description: This paper sets out, in algorithm form, a one-factor term structure model of interest rates and illustrates the application of such a model to the valuation of loans with prepayment provisions. From the Transactions of Society of Actuaries 1994, Vol. 46.

Description: This paper presents a theoretical approach to the valuation of options on bonds, a computer model for valuing such options, an application of options theory to evaluate the risk of call options on corporate bonds, and an application of options theory to price the risk of deposit antiselection on certain GICs sold to employee savings plans. From Transactions of Society of Actuaries 1985, Vol. 37.

Description: This article argues that wealth managers should advocate dynamic spending in proportion to survival probabilities, adjusted up for exogenous pension income and down for longevity risk aversion. The authors criticize the rule of thumb of spending a fixed 'x' percent of assets for retirement planning purposes.

Description: Read an excerpt from Loss Models, From Data To Decisions, Fifth Edition.

Description: For insurance companies, modeling the future values of assets and their interactions is useful for setting up asset strategies and managing reserves for liabilities. This paper evaluates the ability of Wilkie’s stochastic investment models to predict Toronto Stock Exchange [TSX] price index yield. In the Wilkie Model, correlated econometric indices are modeled through a cascade structure.