View Full Version : Tilley's Method

January 28th 2006, 03:22 PM
In the Actex FM study manual at the very end it lists "Tilley's Method" under the heading "Asset-Liability Matching." I was trying to look it up online but there was nothing. Is anyone familiar with "Tilley's Method"?


Mr. Spock

February 3rd 2006, 01:06 PM
"Tilley's Method"?

Try here: http://www.casact.com/pubs/proceed/proceed93/93229.pdf

Nick Mocciolo
February 17th 2006, 07:13 AM
Hi Mr Spock

Tilley's method is not in widespread use by the finance community, so there is not alot of information available in the public domain.

The best source is the section in Broverman's text related to that matter.

Hope it helps ...

February 20th 2006, 01:06 AM
I would also like to ask a question:
The appendix VIII of Kellison's book is also on the syllubus, is it anywhere in
Actex or BPP manual? I can't find it :-((((
thanks for any one who help me on this!

February 20th 2006, 02:05 AM
I think immunization, duration, and convexity are covered on some of the newer manuals.

Sandi Lynn Scherer
February 21st 2006, 01:59 PM
This material is covered in section 7.2 of the Broverman textbook, and in Unit VIII of the ACTEX FM study manual.

February 21st 2006, 09:36 PM
If it's not covered in Kellison, how can they test on it? Is Kellison still one of the options for the required texts?

February 28th 2006, 06:46 PM
I have the FM manual that is 1 year old, so I guess the newer one (that I don't have access to; I also don't have access to the Broverman text) covers Tilley's method? Can someone give me a brief explanation of it? Or is it enough to know that it is used in asset-liability matching?


Mr. Spock