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

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

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

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MODELING FINANCIAL SCENARIOS 237[30] Ibbotson Associates, Stocks, Bonds, Bills, and Inflation 2003Yearbook, Chicago, IL.[31] Jegadeesh, Narasimhan, “An Empirical Analysis of thePricing of Interest Rate Caps,” University of Illinois atUrbana—Champaign Working Paper, 1998.[32] Litterman, Robert, and Jose Scheinkman, “Common FactorsAffecting Bond Returns,” Journal of Fixed Income,June1991, pp. 54—61.[33] Pennacchi, George, “Identifying the Dynamics of Real InterestRates and Inflation: Evidence Using Survey Data,”Review of Financial Studies 4, 1991, pp. 53—86.[34] Redington, Frank, “Review of the Principles of Life OfficeValuations,” Journal of the Institute of Actuaries 78, 1952,pp. 1—40.[35] Reitano, Robert, “Non-Parallel Yield Curve Shifts and Immunization,”Journal of Portfolio Management <strong>18</strong>, 1992, pp.36—43.[36] Risa, Stefano, “Nominal and Inflation Indexed Yields: SeparatingExpected Inflation and Inflation Risk Premia,”Columbia University Working Paper, 2001.[37] Santomero, Anthony, and David Babbel, “Financial RiskManagement: An Analysis of the Process,” Journal of Riskand Insurance 64, 1997, pp. 231—270.[38] Siegel, Jeremy, Stocks for the Long Run, New York:McGraw-Hill, 2002.[39] Shiller, Robert, Irrational Exuberance, Princeton, NJ: PrincetonUniversity Press, 2000.[40] Sornette, Didier, Why Stock Markets Crash: Critical Eventsin Complex Financial Systems, Princeton, NJ: PrincetonUniversity Press, 2003.[41] Staking, Kim, and David Babbel, “The Relation BetweenCapital Structure, Interest Rate Sensitivity, and MarketValue in the Property-Liability Insurance Industry,” JournalofRiskandInsurance62,1995, pp. 690—7<strong>18</strong>.

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