Measuring the Interest Rate Sensitivity of Loss Reserves
Measuring the Interest Rate Sensitivity of Loss Reserves. Stephen P. D’Arcy, FCAS, MAAA, Ph.D. Richard W. Gorvett, FCAS, MAAA, ARM, Ph.D. University of Illinois at Urbana-Champaign Casualty Actuarial Society Miami Beach, FL May 7, 2001. Why Bother with “Duration”?.
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