Department of Finance
Journal of Actuarial Practice (1993–2006)
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Date of this Version
1994
Document Type
Article
Citation
Journal of Actuarial Practice 2 (1994), pp. 145-158
Abstract
The problem considered is that of reconciling two rate level indications that are based on several common factors, but have been made at different review periods. A popular approach to this problem is the so-called sequential replacement method, which calculates the impact of each individual factor. Unfortunately, this method has a serious deficiency: the estimated impact of a factor depends upon the order of the replacement. To counteract this defect, a new approach, called the chain rule approach, is developed. Using this approach, an explicit formula is given for calculating the impact and the marginal impact of each factor.
Included in
Accounting Commons, Business Administration, Management, and Operations Commons, Corporate Finance Commons, Finance and Financial Management Commons, Insurance Commons, Management Sciences and Quantitative Methods Commons
Comments
Copyright 1994 Absalom Press