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Comparing Needs for Initial Surplus in Collective Risk Models
Collective Risk Models The initial risk reserves in collective risk models vary according to the underlying ... distribution, and a suitable level of ruin probability. A thorough analysis of the needed initial surplus for ...- Authors: John A Beekman, Clinton P Fuelling
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management>Risk measurement - ERM
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Actuarial Approach to Option Pricing
Approach to Option Pricing In this paper we study the pricing of financial options and contingent claims. We ... time-honored concepts in actuarial science - the Esscher transform and the adjustment coefficient - are efficient ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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Multiple Currency Option Selection Using Stochastic Constraints
Constraints This paper examines the problem of hedging foreign exchange risk across multiple countries using ... options. The profit target requirement is formulated as a stochastic constraint in the context of a binomial ...- Authors: David C Thurston, Kelly T Au, Joel R Barber
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments
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Stochastic Ordering of Reinsurance Structures
Stochastic Ordering of Reinsurance Structures The paper o ers a simple framework for ranking the common reinsurance ... practice with the theory of stochastic orders. The basic idea is to slice the space of reinsurance structures ...- Authors: Hou-Wen Jeng
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Strategic risks; Finance & Investments>Risk measurement - Finance & Investments
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Representative Interest Rate Scenarios
flexible solution to the time and resource problems of running a large number of stochastic interest rate ... consists of 30 future spot yield curves, where a reasonable number of points are specified on each curve ...- Authors: Sarah Christiansen
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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Valuation of a Catastrophe Insurance Futures Contract Using Compound Poisson Claim Assumptions
Valuation of a Catastrophe Insurance Futures Contract Using Compound Poisson Claim Assumptions In 1993 ... 1993, the Chicago Board of Trade introduced a futures contract on a financial index that reflects the insurance ...- Authors: Jacques F Carriere, Kevin Andrew Buhr
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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Stochastic Control Theory for Optimal Investment
paper illustrates the application of stochastic control methods in managing the risk associated with an ... We present the Hamilton-Jacobi-Bellman HJB equation and demonstrate its use in finding the optimal investment ...- Authors: MARITINA TOLEDO CASTILLO, Gilbert Parrocha
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Strategic Considerations in Designing a Revenue Hedging Policy for Nonfinancial Companies Using the Example of the Oil Tanker Industry
Nonfinancial Companies Using the Example of the Oil Tanker Industry Risk management theory prescribes ... In this paper we will use the oil tanker industry to illustrate some of these strategic considerations ...- Authors: Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Investment policy
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Credit Portfolio Optimization under Condition of Multiple Credit Transition Metrics
Condition of Multiple Credit Transition Metrics This paper discusses both the theoretical and the application ... aspects of stress testing in managing enterprise risks. Effective stress testing maximizes the risk adjusted ...- Authors: Min Jie (Helen) Han
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Letting Financial Economics Drive the Development of Transparent Accounting and Contribution Requirements
Drive the Development of Transparent Accounting and Contribution Requirements This paper takes the position ... Contributions could also be based on some asset and liability information about the pension plan, but with flexibility ...- Authors: Mark Ruloff
- Date: Jun 2003
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Financial Reporting & Accounting; Pensions & Retirement>Pension accounting