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Leveraging Up Return on Equity by Issuing Subordinated Indebtedness
Leveraging Up Return on Equity by Issuing Subordinated Indebtedness This paper presents ... Committee ota Life Insurance Company Valuation Principles. The Valuation Actuary Handbook. Itasca, Illinois: ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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Life Insurance Transformations
.055 / 1.055. These steps are illustrated in Table 1 in spreadsheet form. Alternatively, commutation ... decimal places as are carried through the process. TABLE 1 THE SIMPLE CASE INTEREST RATE 0.055 COl SCALE ...- Authors: Douglas A Eckley, Eric Seah, Elias Shiu
- Date: Oct 1987
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance
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Divided Differences by Contour Integration
that such a technique has found applications in individual risk theory [ 6, §II J. 16 We now compute ... Kornya, Distribution of Aggregate Claims in the Individual Risk Theory Model, TSA, 35 (1983). 7. D.E.- Authors: Elias Shiu
- Date: Jan 1983
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Estimation methods
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Immunizing Stochastic Cash Flows
valuing stochastic cash flows. 3. Arbitrage Valuation Theory The option-pricing theory of Fischer ... banking firms on Wall Street have constructed valuation models similar to the one described here. See ...- Authors: Elias Shiu
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management
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Option Pricing Without Tears: Valuing Equity-Linked Death Benefits
Option Pricing Without Tears: Valuing Equity-Linked Death Benefits This presentation ... combinations of exponential density functions Thus, our valuation problem becomes finding E[e−δτ b(S(τ))], where ...- Authors: Elias Shiu, Hans U Gerber, Hailiang Yang
- Date: Feb 2014
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Integer Functions, UDDYA, and Annuity Coefficients
interpreted as the value of 2m - 1 cash flows, with valuation date being the mid-point of the occurrences ... occurrences of the cash flows. In Figure 2, the valuation date is k. There are m- 1 increasing cash flows from ...- Authors: Elias Shiu, Serena Ee Ik Tiong
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Actuarial Approach to Option Pricing
results are rooted in the idea of risk-neutral valuation 305 of Cox and Ross [CR76]. In a finite ... Bhattacharya, S., and Constantinides, G. (ed.) Theory of Valuation: Frontier of Modern Financial Theory, Volume ...- 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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Evaluation of Ruin Probabilities
according to a Poisson process N(t), t >_ O, and the individual claim amounts X~, X 2, X 3 .... are mutually ... (1988), let us now consider the case that the individual claim amount random variable X takes on positive ...- Authors: Elias Shiu
- Date: Jan 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Recursive Formulas for Compound Difference Distributions
S. "Distribution of Aggregate Claims in the Individual Risk Theory Model," TSA, XXXV (1984), pp. 000-00 ... paper, "Distribution of Aggregate Claims in the Individual Risk Theory Model," TSA, XXXV (1984), pp. 000--00 ...- Authors: Beda Chan, Elias Shiu
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Claims - Life Insurance; Modeling & Statistical Methods
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On the Time Value of Ruin
given 147 by the Poisson parameter ~. and individual claim amount distribution function P(x) with ... differentiable, with P'(x) = p(x) being the individual claim amount probability density function.- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods