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Discounted Claims In A Renewal Risk Model
Discounted Claims In A Renewal Risk Model In the classical risk theoretic model with Poisson claim arrival ... exponential claims, consider the discounted value of claims nos. 3, 6, 9, and so on. [To risk theory specialists ...- Authors: Daniel Dufresne
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Changes of measure for the square-root stochastic volatility process
Changes of measure for the square-root stochastic volatility process This abstract describes a paper ... paper that considers the square-root process and its time integral as they occur in pricing options in stochastic ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2010
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Two Notes on Financial Mathematics
Two Notes on Financial Mathematics Contains two separate articles, called notes. The first note, “A ... “A note on correlation in mean variance portfolio theory,” is an elementary discussion of how negative ...- Authors: Daniel Dufresne
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Annuities>Payout annuities; Finance & Investments>Portfolio management - Finance & Investments; Reinsurance>Stop-loss insurance
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Current Research on Pension Accounting
Current Research on Pension Accounting This paper is part of The research project dealing with pension ... Statement of Financial Accounting Standards No. 87 [or FAS 87]. The goal of the project is to study the variability ...- Authors: Daniel Dufresne
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Defined benefit plans
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Some Aspects of Statement of Financial Accounting Standards No. 87
Aspects of Statement of Financial Accounting Standards No. 87 This paper focuses on two aspects of SFAS ... 87. The first is the availability of the discount rate, and its consequences. The second is the corridor ...- Authors: Daniel Dufresne
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Pension accounting
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Actuarial Research Clearing House ARCH 1989 Vol. 1 - Stability of Pension Systems When Rates of Return are Random
House ARCH 1989 Vol. 1 - Stability of Pension Systems When Rates of Return are Random Research paper ... affected when the rates of return of the plans' assets form an i.i.d. sequence of random variables ...- Authors: Daniel Dufresne
- Date: Jan 1989
- Publication Name: Actuarial Research Clearing House
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Distributions of Discounted Values
Distributions of Discounted Values This paper presents a solution to the problem of discounting cash ... cash flows when the cash flows and discount factors are random variables with given distributions. Discount ...- Authors: Daniel Dufresne
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Sums of Lognormals
Sums of Lognormals The problem of finding the distribution of sums of lognormally distributed random ... going back to the 1930’s are given, as well as some possible solutions. A formula for the characteristic ...- Authors: Daniel Dufresne
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Stochastic Life Contingencies with Solvency Considerations
Considerations This paper addresses the extension of the theory of life contingencies to a stochastic ... surplus. A discussion of the paper follows. From Transactions of Society of Actuaries 1990, Vol. 42 ...- Authors: Daniel Dufresne, Edward Frees, Elias Shiu
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession>Competencies; Financial Reporting & Accounting
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Stochastic Volatility And Option Pricing
Stochastic Volatility And Option Pricing ... Feature article discussing the use of stochastic volatility models in the pricing of investments and options ...- Authors: Daniel Dufresne
- Date: Feb 2010
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models