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Annuity Valuation with Dependent Mortality
Annuity Valuation with Dependent Mortality This paper investigates the use of models of dependent mortality ... estimates to calibrate the rnodel. Annuities;Annuity valuation;Beneficiaries;Derivatives;Discount rates=Interest ...- Authors: Jacques F Carriere, Edward Frees, Emiliano Valdez
- Date: May 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Pricing - Annuities; Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments
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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 ... portfolio of policies. This article presents a valuation formula for the contract, under the assumption ...- 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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Research Studies Multiple Lives Dependency Risk In Annuities
Research Studies Multiple Lives Dependency Risk In Annuities Summary of the SOA's Annuity ... In Annuities Summary of the SOA's Annuity Valuation with Dependent Mortality research report which ...- Authors: Jacques F Carriere, Edward Frees
- Date: May 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Annuities>Pricing - Annuities
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New Salary Functions for Pension Valuations
New Salary Functions for Pension Valuations This paper ... investigates salary functions as they are used in the valuation of pension plans. Pension actuaries may find many ...- Authors: Jacques F Carriere, Kevin Shand
- Date: Jan 1998
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Assumptions and methods
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Parametric Models for Life Tables
model fits the pattern of mortality of a U.S. life table up to age 90. We investigate several loss criteria ... male and female 1983 Table a to age 100. Plots of our estimates of the valuation mortality rates are ...- Authors: Jacques F Carriere
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Demography>Mortality - Demography; Modeling & Statistical Methods>Forecasting
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The Bounds of Bivariate Distributions that Limit the Value of Last-Survivor Annuities
Traditionally, actuaries have assumed that the individual lives of joint-life and last-survivor statuses ... associated in some manner. This implies that the individual lifetimes are not independent. The dependent ...- Authors: Jacques F Carriere, Lai K Chan
- Date: Oct 1986
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Annuities; Modeling & Statistical Methods
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A Twelve Parameter Model of Select Mortality Rates
and from the Formula (The Values from the Basic Table are given as Solid Squares) i i , i i , , I ... this reduced twelve-parameter model are given in Table 1. Note that ~b30 = .9798 and so the Gompertz ...- Authors: Jacques F Carriere
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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An Investigation of the Gompertz Law of Mortality
mortality for a valuation mortality table and we estimate the Gompertz parameters with the valuation mortality ... and ~r = 11.4. In section 3, we find that using valuation mortality rates yields estimates of m and er ...- Authors: Jacques F Carriere
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance; Modeling & Statistical Methods
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A Select and Ultimate Parametric Model
decreases in L('). 86 TRANSACTIONS, VOLUME XLVI TABLE 1 PARAMETER ESTIMATES FOR THE FEMALE MODEL ... 172 0.171 0.168 Change 0.108 0.016 0.001 0.003 TABLE 2 PARAMETER ESTIMATES FOR THE MALE MODEL M~el ...- 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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Simulating Random Variates from Makeham's Distribution and from Others with Exact or Nearly Log-Concave Densities
requires the evaluation of these derivatives. TABLE 1 DENSITIES USEFUL IN ACTUARIAL APPLICATIONS ... their log-concavity properties, are listed in Table 1. These densities are parameterized as in Hogg ...- Authors: Jacques F Carriere, John A Mereu, Gordon E Klein, David Scollnik, Jeffrey S Pai
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods