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Original Articles

Efficient Stochastic Modeling for Large and Consolidated Insurance Business: Interest Rate Sampling Algorithms

Pages 88-103 | Published online: 04 Jan 2013

References

  • Christiansen , Sarah L. M. 1992 . A Practical Guide to Interest Rate Generators for C-3 Risk Analysis . Transactions of the Society of Actuaries 1992 , 44
  • Christiansen , Sarah L. M. 1998 . Representative Interest Rate Scenarios . North American Actuarial Journal , 2 ( 3 ) : 29 – 59 .
  • Chueh , Yvonne C. M. 1999 . Stochastic Economic Modeling for the Deferred Annuity (Accumulation) Line of Business: Efficient Modeling Approaches for Large and Consolidated Business Blocks , University of Connecticut . Ph.D. thesis
  • Elandt , R. and Johnson , N. L. 1980 . Survival Models and Data Analysis , John Wiley & Sons : New York .
  • London , Dick . 1988 . Survival Models and Their Estimation , 2nd ed. , Westport, CT : ACTEX Publications .
  • Longley-Cook , Alastair G. 1996 . Probabilities of Required 7 Scenarios (and a Few More) . Financial Reporter , 29 : 1 – 6 .
  • Robbins , Edward L. , Cox , Samuel H. and Phillips , Richard D. 1997 . Application of Risk Theory to Interpretation of Stochastic Cash-Flow-Testing Results . North American Actuarial Journal , 1 ( 2 ) : 85 – 98 .
  • Rubnich , Ronald . 1998 . Interest Rate Generator for C3 Project , C-3 Task Force of the Society of Actuaries

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