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Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 6: An Actuarial Bridge to Option Pricing
Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 6: An Actuarial Bridge to ... Bowles Symposium, M-FI97-1. Asset modeling;Asset valuation;Derivatives;Risk measurement; 8326 10/1/1997 ...- Authors: Hans U Gerber, Elias Shiu
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Option Pricing by Esscher Transforms
his paper [35] Esscher did not assume that the individual claim amount distribution function is differentiable ... results are rooted in the idea of risk-neutral valuation of Cox and Ross [24]. For an in- sightful introduction ...- 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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Risk Theory with the Gamma Process
Poisson process with Poisson parameter Q(x) and individual claim amount distribution t 0 y~x P(y; x) ... Poisson process with Poisson parameter Q(0) and individual claim amount distribution O(y) P{y) --- ...- 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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Option Pricing by Esscher Transforms
results are rooted in the idea of risk-neutral valuation of Cox and Ross [24]. For an insightful introduction ... quantitatively some of the verbal statements in Table 17.1 of Hull's book [47, p. 438]. We thank Frangois ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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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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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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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
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On Optimal Dividends: From Reflection to Refraction
On Optimal Dividends: From Reflection to Refraction Presents some elementary and down-to-earth ... surplus. Let δ > 0 be the force of interest for valuation, and let D denote the present value of all dividends ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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The Time Value of Ruin in a Sparre Andersen Model: Ruin Theory by Divided Differences
The Time Value of Ruin in a Sparre Andersen Model: Ruin Theory by Divided Differences This paper ... We assume a constant premium rate c. The individual claims {Xj} are positive i. i. d. random variables ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods