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Regime-Switching Portfolio Replication
Regime-Switching Portfolio Replication Regime switching models have become a popular tool in econometric time series modeling since their introduction in Hamilton [1989].These models have been ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Finance & Investments>Asset liability management; Modeling & Statistical Methods
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Regime-Switching Portfolio Replication
Regime-Switching Portfolio Replication This is the abstract on the paper on regime-switching portfolio replication. Abstract; 14528 7/30/2010 12:39:00 PM ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Jul 2010
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Econometric Models For Interest Rates
Econometric Models For Interest Rates This presentation estimates several models of interest rates, including seven without and four with regime shifts. Asset modeling;Discount rates=Interest ...- Authors: R Keith Freeland
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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Ruin Probability for a Short-Term Disability Model
Ruin Probability for a Short-Term Disability Model A simple short-term disability model is developed, where the loss process is comprised of two processes: new claims process and continuing ...- Authors: R Keith Freeland
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability>Disability insurance; Modeling & Statistical Methods
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Assessing Regime Switching Equity Return Models
Assessing Regime Switching Equity Return Models The purpose of this paper is to help practitioners and regulators more accurately quantify the potential impact of market risk on insurance ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Finance & Investments; Modeling & Statistical Methods