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Abstracts
the purpose of modifying an existing mortality table to reflect the collected underwriting information ... general fashions than in Study Notes. For three individual cost methods, concise formulations and auxiliary ...- Authors: Samuel Cox, Ralph Garfield, James C Hickman, Warren Luckner, Arnold Shapiro, Elias Shiu, Hung-Ping Tsao, Joseph Tupper, Patrick L Brockett, JOHN MICHAEL MCADON, LORI LYNN SCHUMACHER, DAVID C WU
- Date: Jan 1983
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Option Pricing by Esscher Transforms
results are rooted in the idea of risk-neutral valuation of Cox and Ross [24]. For an insightful introduction ... quantitatively some of the verbal statements in Table 17.1 of Hull's book [47, p. 438]. We thank Frangois ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Total Return, Duration and Convexity
] + M(6(,~))[5(t 1) - 6(to)]2/2}. This is a valuation equation at time t~. We can rewrite it as one ... =Some Simple Models ot the Investment Risk in Individual Lite Insurance," Actuatial Research Cleating ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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AIDS and the Calculation of Life Insurance Functions
to AIDS will increase. AIDS thus presents the valuation actuary with numerous problems, the major one ... ([9], chapter 15), than to a multiple decrement table. This 396 AIDS: CALCULATION OF LIFE INSURANCE ...- Authors: Colin M Ramsay, Eric Seah, Elias Shiu, J. C. Smith
- Date: Oct 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance
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Multidimensional Whittaker-Henderson Graduation
constant is il- lustrated in the following example. Table 1 shows the ungraduated values, which were taken ... graduation of select mortality rates. The two TABLE 1 SAMPLE DATA, UNGRADUATED AND GRADUATED X ...- Authors: Gerald Lee Giesecke, Frank E Knorr, Jeffrey L Kunkel, Steven F McKay, Elias Shiu, William J Taylor
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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Select and Ultimate Models in Multiple Decrement History
select models. A nonselect model for a mortality table is often a reasonable approxi- mation. After all ... to give stochastic definitions to the mortality table items l ~/) and dO3, which have appeared in the ...- Authors: S. Promislow, Elias Shiu
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession>Competencies
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REROSHE: The Concept of a Risk-Free Equivalent Return on Shareholders' Equity
thousand shares of Go-Go, Inc.? When pricing a new individual life product, how conservative should the assumptions ... seeks to make prob- ability statements about an individual line of business or a block of roughly identical ...- Authors: Alastair G Longley-Cook, Elias Shiu, Donald R Sondergeld, Oakley E Van Slyke, Patrick L Brockett
- Date: Oct 1983
- Competency: External Forces & Industry Knowledge
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Capital - Life Insurance
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Evaluation of the Rollover Option
an annualized standard deviation. Below is a table of values of A according to (4.8) for s = 0.005 ... BhaRacharya, S., and Constanfinidcs, G.C. Theory of Valuation: Fromier of Modern Financial Theory, Volume ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investments
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Algorithms for Cash-Flow Matching
rates. Some recent discussions on C-3 risk and valuation can be found in [5], []3] and [25]. Two important ... 5. CODY, D.D. "Discovery To-Date on Risk, Valuation and Surplus," Actuarial Re- search Clearing House ...- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments
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How Fast Is Mexico Increasing?
years of age, and we can suppose that in its life table the fraction under 25 is 35 percent, the mean ... corresponding stationary population (the underlying life table), i.e., Tx l(x) dx o 0 35 =CO= T l(x) dx ...- Authors: Elias Shiu, JINXIA MA
- Date: Jan 1991
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Demography>Population data