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Interaction Between Asset Liability Management and Risk Theory: An Unsegmented and a Multidimensional Study
Interaction Between Asset Liability Management and Risk Theory: An Unsegmented and a Multidimensional Study ... measures of the risk that the value of the liabilities becomes larger than the value of the assets, and ...- Authors: Jacques Janssen, Griselda Deelstra
- Date: Jan 2002
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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Risk Theory with the Gamma Process
Risk Theory with the Gamma Process In classical collective risk theory, the aggregate claims process ... compound Poisson. In this paper the authors examine a more general model for the aggregate claims process: ...- Authors: Hans U Gerber, Elias Shiu, Francois Dufresne
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Credit Risk Study of Private Placement Bonds and Commercial Mortgage Loans
Credit Risk Study of Private Placement Bonds and Commercial Mortgage Loans This is a summary of the progress ... progress of a Credit Risk Study sponsored by the Society of Actuaries analyzing the credit risk of private ...- Authors: Mark G. Doherty
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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Annuities For The Aged
Annuities For The Aged The paper is an individual risk theoretical examination of annuities for the aged. ... Through retirement systems, social security and insurance plans, annuities for the aged are a very significant ...- Authors: Cecil J Nesbitt, Marjorie Rosenberg
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Individual annuities
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Computing Ruin Probabilities - A Life Table Approach
probabilities. The dynamics of the traditional insurance model are stated in the form of period to period ... This allows the development of a life-table with the survival probabilities for a given set of parameters ...- Authors: Manalur S Sandilya
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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A Bond Manager's Method for ALM
This paper introduces the Bond Manager's Method for ALM which allows the impact of a change in interest ... rate levels on the present value of a stream of cash flows to be directly determined from the coupon rates ...- Authors: Application Administrator
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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On Uniqueness of Interest Rates in a Borrowing/Lending Model
On Uniqueness of Interest Rates in a Borrowing/Lending Model This paper presents a proof on the subject ... subject of uniqueness of interest rates in a borrowing/lending model for possible student use in undergraduate ...- Authors: Donald P Minassian
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Distribution of Pension Benefits On Divorce: Some Unresolved Actuarial Issues
Distribution of Pension Benefits On Divorce: Some Unresolved Actuarial Issues The authors have been ... involved with the development of an economically unbiased model for the distribution of pension ...- Authors: Arnold Shapiro, Benjamin N. Henszey
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement
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Catastrophe Risk Bonds
Catastrophe Risk Bonds This paper examines the pricing of catastrophe risk bonds. Catastrophe risk cannot ... traditional securities. Therefore the pricing of catastrophe risk bonds requires an incomplete markets ...- Authors: Samuel Cox, Hal Warren Pedersen
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Distribution and Quantile Estimates for Parametric and Non-parametric Models on Value at Risk
Non-parametric Models on Value at Risk This paper compares percentile estimates of a large number of cash flow testing ... scenarios, where only a very small number fall in the ruin tail, by parametric and non-parametric methods ...- Authors: Beda Chan
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods