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Interest and Mortality Randomness in Some Annuities
n = 5, 10, 20, 30. These are displayed in Table 1. Table 4 of P. Boyle (1976) contains some values ... random variables ~,~ are defined by k=l 285 Table 1: E{~Ix } n=5 n=10 ~\a 0.0100 0.0050 0.0025 ...- Authors: John A Beekman, Clinton P Fuelling
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Fixed annuities; Annuities>Individual annuities; Modeling & Statistical Methods>Stochastic models
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Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australian Data
and economic series was from September 1969. Individual series were available for differing time periods ... non-standard distribution and is compared with the table of critical values found in Fuller (1976, p. 373) ...- Authors: Michael Sherris, Ben Zehnwirth, Leanna Tedesco
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Examining Changes in Reserves Using Stochastic Interest Models
mortal i ty happens according to a known mortality table and the interest rate is assumed to have a deterministic ... 2.1 Insurance Mode l We consider here the individual risk model for insurance contracts, using the ...- Authors: Edward Frees, Siu-Wai Lai
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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A Numerical Method for Computing the Probability Distribution of Total Risk of Portfolio
178 .070 .052 .012 0 This is exactly the same table given in Insurance Risk Models. 4. NUMERICAL METHODS ... probability distribution function of S, given the individual probability distribution function's: ./]~. (x) ...- Authors: Rohan J Dalpatadu, Andy Tsang, Ashok K Singh
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Immunization Under Stochastic Models of the Term Structure
struc- ture models considered, Table 1 has been prepared. This table gives the prices of pure discount ... Under Stochastic Models of the Term Structure Table I. Bond Prices and Mean Terms of Discount Bonds ...- Authors: Phelim Boyle
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Modeling & Statistical Methods>Stochastic models
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Insurance and Annuity Calculations in the Presents of Stochastic Interest Rates
are computed. These values are listed in Table I. Table I : Whole Life Insurance and Annuity Computations ... 37937 .04 .052142 .009752 12.4481 3.01484 From Table I we observe that the effect of stochastic interest ...- Authors: DALE S BOROWIAK
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Portfolio Optimization in Corporate Models
25¢7c 15% 60% 7.6% C 22.5% 20¢/ 57.5~7, 8.2% Table 1: Initial Portfolio Allocations Example values ... values of the rate of return are contained in Table 1. Note that point "A" is the worst of the three trials ...- Authors: William L Babcock, Steven Craighead
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Stochastic Optimization Techniques for Pricing Callable Bonds: Continuous Time Approach
Securities Market generated high demand for pricing valuation models. As market becomes more complex and bond ... observe two types of requirements for market price valuation models. On one hand we have sophisticated multidimensional ...- Authors: Mark Saksonov
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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Risk Premiums and Their Applications
condition for nth stop-loss orders is applied to the valuation of risk premium principles. We show that exponential ... properties of the nth stop-loss order under the individual risk model and the collective risk model were ...- Authors: Jeffrey S Pai
- Date: Jan 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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The Financial Implications of Finite Ruin Theory
ruin; and 1. LowerIng the limit of liabilit~ on individual cl~ims decreases the probabilit~ of ruin. ... results with a single exampl~. The following table gives the parameters. Claim Severity Distribution ...- Authors: Glenn Meyers
- Date: Jan 1986
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models