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PROCEEDINGS May 15, 16, 17, 18, 2005 - Casualty Actuarial Society

PROCEEDINGS May 15, 16, 17, 18, 2005 - Casualty Actuarial Society

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236 MODELING FINANCIAL SCENARIOS[20] Fisher, Irving, Theory of Interest, New York: The MacmillanCompany, 1930.[21] Fitton, Peter, and James F. McNatt, “The Four Faces of anInterest Rate Model,” in Advances in Fixed Income Valuation:Modeling and Risk Management, F.Fabozzi,ed.,NewHope, PA: Frank J. Fabozzi Associates, 1997, Chapter 2.[22] Hardy, Mary, “A Regime-Switching Model of Long-TermStock Returns,” North American <strong>Actuarial</strong> Journal 5, 2,2001, pp. 41—53, http://library.soa.org/library/naaj/1997-09/naaj0104 4.pdf.[23] Heath, David, Robert Jarrow, and Andrew Morton, “BondPricing and the Term Structure of Interest Rates: A NewMethodology for Contingent Claims Valuation,” Econometrica60, 1992, pp. 77—105.[24] Hibbert, John, Philip Mowbray, and Craig Turnbull, “AStochastic Asset Model and Calibration for Long-Term FinancialPlanning Purposes,” Technical Report, Barrie &Hibbert Limited, 2001.[25] Ho, Thomas, and Sang-Bin Lee, “Term Structure Movementsand Pricing Interest Rate Contingent Claims,” Journalof Finance 41, 1986, pp. 1011—1029.[26] Hodes, Douglas, and Sholom Feldblum, “Interest RateRisk and Capital Requirements for Property/<strong>Casualty</strong> InsuranceCompanies,” PCAS LXXXIII, 1996, pp. 490—562,http://www.casact.org/pubs/proceed/proceed96/96490.pdf.[27] Hull, John, Options, Futures, and Other Derivatives, 5th Edition,Upper Saddle River, NJ: Prentice Hall, 2003.[28] Hull, John, and Alan White, “Pricing Interest-Rate-DerivativeSecurities,” Review of Financial Studies 3, 1990, pp.573—592.[29] Hull, John, and Alan White, “Numerical Procedures for ImplementingTerm Structure Models II: Two-Factor Models,”Journal of Derivatives Winter 1994, pp. 37—48.

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