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CSTEP: a HPC Platform for Scenario Reduction Research on Efficient Stochastic Modeling - Representative Scenario Approach
Reduction Research on Efficient Stochastic Modeling - Representative Scenario Approach The CSTEP 'Cluster ... 'Cluster Sampling for Tail Estimation of Probability' system is a desktop-based application to assist ...- Authors: Paul H Johnson, Yvonne Chueh
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Stochastic models; Technology & Applications>Analytics and informatics
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Inference for a Leptokurtic Symmetric Family of Distributions Represented by the Difference of Two Gamma Variates
Leptokurtic Symmetric Family of Distributions Represented by the Difference of Two Gamma Variates In this ... introduce a family of leptokurtic symmetric distributions represented by the difference of two gamma variates ...- Authors: Louis G Doray, Maciej Augustyniak
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Modeling & Statistical Methods>Stochastic models; Technology & Applications>Business intelligence
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A New Collective Risk Model
Collective Risk Model In this paper, a mathematical model is constructed to study the deviations of claims ... random stochastic processes. Discussions of the paper submitted by 2 readers follows Discount ...- Authors: John A Beekman, Ethan Stroh, Richard W Ziock
- Date: Oct 1973
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Stochastic models
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Real-world interest rate models in a low interest rate environment
examines the implication of using real-world interest rate scenario generators with a block of fixed deferred ... results based on New York 7 deterministic scenarios to stochastic scenarios generated with the Academy Interest ...- Authors: Marshall Lin, Jean-Philippe Larochelle, Francisco Orduna
- Date: Dec 2015
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: The Modeling Platform
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
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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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A Proposed Unified Valuation System
Proposed Unified Valuation System This is the abstract of the article 'A Proposed Unified Valuation ... some analytical examples of a stochastic modeling of risk use to illustrate the S-curve approach to valuation ...- Authors: David Sandberg
- Date: Jan 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Multivariate Stochastic Immunization Theory
a new theory of immunization is introduced in which the approach is multivariate, and the goal is stochastic ... stochastic in the sense of minimizing stochastic risk. Discussions of this paper are included. Portfolio ...- Authors: Robert Reitano
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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A Loss Reserving Model within the framework of Generalized Linear Models
Model within the framework of Generalized Linear Models This research was funded by the Natural Sciences ... Research Council of Canada [NSERC] Discovery Grant 36860–06. Loss reserving is one of the most challenging ...- Authors: José Garrido, JUN ZHOU
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods; Modeling & Statistical Methods>Stochastic models
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A Practical Concept of Tail Correlation
A Practical Concept of Tail Correlation This paper shows how the results of copula based capital aggregation ... approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation ...- Authors: Application Administrator
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Critical Review of Stochastic Simulation Literature and Applications for Health Actuaries Appendix
Critical Review of Stochastic Simulation Literature and Applications for Health Actuaries Appendix Appendix ... Appendix to the Critical Review of Stochastic Simulation Literature and Applications for Health Actuaries ...- Authors: Louise H Anderson, Ian G Duncan, Katherine Hall, Brian C Martinson
- Date: Sep 2007
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Modeling & Statistical Methods>Markov Chain; Modeling & Statistical Methods>Stochastic models