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Option Pricing by Esscher Transforms
shows that the Esscher transform is an efficient technique for valuing derivative securities if the logarithms ... logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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Compartment Model Methods in Estimating Cancer Costs
paper proposes the use of stochastic compartment model methods for estimating both the current direct ... costs of specific cancers and for forecasting future direct and indirect costs. From Transactions of Society ...- Authors: H Tolley, P J Stallard, Kenneth G Manton
- Date: Oct 1982
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Stochastic models
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The Projected Unit Credit Method with Benefits Apportioned by Interest-Adjusted Salary
The Projected Unit Credit Method with Benefits Apportioned by Interest-Adjusted Salary This paper adopts ... adopts the framework whereby pension benefits are allocated one exit point at a time in some fashion to ...- Authors: Gerald Lee Giesecke
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Pensions & Retirement>Assumptions and methods
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Actuarial Calculations Using a Markov Model
Actuarial ... change in the status of the insured or while the insured maintains a given status. From the Transactions ... Transactions of Society of Actuaries 1994, Vol. 46. N/A; 2739 1/1/1994 12:00:00 AM ...- Authors: Bruce Jones
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Markov Chain
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Insurance for Face Amount or Paid-Up Insurance Amount if Greater
face by treating the paid up amount as the sum insured whenever it exceeds face. The formulas for premiums ... premiums, cash values and amount of insurance are provided. Cash value;Death benefits;Premiums; 979 4/1/1952 ...- Authors: Cecil J Nesbitt, Majorie L Van Eenam
- Date: Apr 1952
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Whole life
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Regulatory Monitoring of Individual Health Insurance Policy Experience
Regulatory Monitoring of Individual Health Insurance Policy Experience This paper was prepared to facilitate ... with the New York State Insurance Department concerning price regulation and the application of minimum ...- Authors: Application Administrator, John Cumming, Richard Diamond
- Date: Oct 1982
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Health & Disability>Health insurance
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Operations Research
discussion examines the relationship of Operations Research to the actuarial profession, the extent traditional ... types of life insurance company problems lending themselves to Operations Research study, and the relationship ...- Authors: Society of Actuaries
- Date: Mar 1957
- Competency: Strategic Insight and Integration>Effective decision-making; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Transactions of the SOA
- Topics: Enterprise Risk Management>Operational risks; Modeling & Statistical Methods
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Integer Functions and Life Contingencies
Contingencies In this paper, the author studies the ‘applications of the integer functions, ceiling and ... applying a theorem of the mean value type for integrals and uniform distribution of deaths assumptions ...- Authors: Cecil J Nesbitt, Elias Shiu, A D Wilkie
- Date: Oct 1982
- Competency: Professional Values>Practice expertise; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession>Professional development
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A Select and Ultimate Parametric Model
that explains the pattern of mortality for the female and male mortality rates of the 1975–80 Select ... predict the select mortality rates beyond the 15-year select period and because it can predict the select ...- Authors: Jacques F Carriere
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession
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Increasing and Increasing Convex Bayesian Graduation
Increasing and Increasing Convex Bayesian Graduation It is well accepted that, for ages 30 and ... no established graduation method makes direct use of this knowledge. Such a method is offered in this ...- Authors: James D Broffitt
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Estimation methods