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Sequential Credibility Evaluation via Stochastic Approximation
premium # = # (0) = E(X ] 0), given n years individual experience xlx2...a:,,, and the collective fair ... the collective fair premium in favor of the individual experience. It is straight forward to establish ...- Authors: Udi E Makov, Zinoviy Landsman
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
total loss in a portfolio of investments for an individual or institution. The tail conditional expectation ... sum of the tail conditional expectations of the individual components. This is because TCEXj (sq) 6= E ...- Authors: Edward Furman, Zinoviy Landsman
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments