Investment section monograph
By: Investment Section Council.
Contributors: Society of Actuaries. Investment Section Council.
Series: SOA monograph ;; M-AS99-2
Publisher: Society of Actuaries
Published: 1999
Place of publication: Schaumburg, Ill
Language: eng
Number of pages: 152
Subjects: Insurance companies -- Investments; Insurance companies -- Investments -- Mathematical models.
Notes: Includes bibliographical references.
Some contributions previously published.
"October 1999."
Table of contents: title: Review of the principles of life-office valuations / F.M. Redington; title: Quasi-Monte Carlo methods in numerical finance / Corwin Joy, Phelim P. Boyle, Ken Sang Tan; title: Valuing American options in a path simulation model / James A. Tilley; title: Option pricing by Esscher transforms / Hans U. Gerber and Elias S.W. Shiu; title: Multivariate duration analysis / Robert R. Reitano; title: A stochastic investment model for actuarial use / A.D. Wilkie.