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An Investigation of the Gompertz Law of Mortality
Investigation of the Gompertz Law of Mortality This article investigates the properties of the Gompertz distribution ... given in terms of the left-truncated gamma function. Moreover, approximations for the mean, variance ...- 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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The Bounds of Bivariate Distributions that Limit the Value of Last-Survivor Annuities
The Bounds of Bivariate Distributions that Limit the Value of Last-Survivor Annuities The dependent ... between two lives is readily analyzed within the context of probability theory. This paper presents useful ...- 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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The Effect of Removing Cancer as a Cause of Death When it is Correlated with Other Causes
The Effect of Removing Cancer as a Cause of Death When it is Correlated with Other Causes Multiple decrement ... theory traditionally is based on the assumption that competing causes of decrement are stochastically independent ...- 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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Annuity Valuation with Dependent Mortality
Dependent Mortality This paper investigates the use of models of dependent mortality for determining annuity ... annuity values. We discuss a broad class of parametric models using a bivariate survivorship function called ...- 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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Nonparametric Tests for Heterogeneity of Risk
Heterogeneity of Risk Consider a portfolio of insurance policies where the mean frquency of claims for ... assumption is that the number of claims for a policy is a Poisson random variable. In this paper the author shows ...- Authors: Jacques F Carriere
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Self-Financing Markets and Eventual Arbitrage
This paper argues that the self-financing axiom with mild assumptions on the conditional expected returns ... is accomplished by minimizing the conditional variance of a trade when the conditional expectation is a ...- Authors: Jacques F Carriere
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - 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 ... 1993, the Chicago Board of Trade introduced a futures contract on a financial index that reflects the insurance ...- 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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A Twelve Parameter Model of Select Mortality Rates
A Twelve Parameter Model of Select Mortality Rates The purpose of this paper is to present a parsimonious ... explains the pattern of mortality for select and ultimate mortality tables. Specifically, the author modeled ...- 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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New Salary Functions for Pension Valuations
they are used in the valuation of pension plans. Pension actuaries may find many of the ideas in this article ... Moreover, the paper may be interesting to researchers in actuarial science. The main conclusion of this paper ...- 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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Simulating Random Variates from Makeham's Distribution and from Others with Exact or Nearly Log-Concave Densities
Carlo and related methods recently presented in the statistical literature can be used to quickly and ... nearly log-concave densities. From Transactions of Society of Actuaries 1995, Vol. 47. Markov Chain;Monte ...- 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