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On the Probability of Ruin in a Markov-modulated Risk Model
On the Probability of Ruin in a Markov-modulated Risk Model This paper endeavors to obtain the explicit ... explicit formulas of the probability of ruin in a Markov-modulated model where claim intensities, claim sizes ...- Authors: Yi Lu, Shuanming Li
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Markov Chain
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Intervention Effects Among a Collection of Risks
Intervention Effects Among a Collection of Risks This paper describes risk-factor-dependent multiple decrements ... stochastic model of morbidity and mortality processes. For large numbers of risk factors, the model is extended ...- Authors: H Tolley, Kenneth G Manton
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Experience Studies & Data>Morbidity; Experience Studies & Data>Mortality; Modeling & Statistical Methods; Modeling & Statistical Methods>Markov Chain
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Predicting Return to Work with Data Mining
Predicting Return to Work with Data Mining One of the first projects undertaken by Claim Analytics was ... sponsored in part by the Society of Actuaries Health Section , is a case study on creating such a model ...- Authors: Barry D Senensky,
- Date: Jan 2004
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>External forces and business performance
- Topics: Health & Disability>Chronic health management - Health & Disability; Health & Disability>Disability insurance; Health & Disability>Disability tables; Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Markov Chain; Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Simulation
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On Calculating Delta-Ized Reserves - Actuarial Note
On Calculating Delta-Ized Reserves - Actuarial Note The actuarial profession is faced with a problem ... problem of determining delta-ized reserves on a basis which will include appropriate provision for adverse ...- Authors: William A Bailey, Cecil J Nesbitt, David G Halmstad
- Date: Oct 1974
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Financial Reporting & Accounting; Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]; Modeling & Statistical Methods; Modeling & Statistical Methods>Markov Chain
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Modelling Multi-State Processes Using A Markov Assumption
Processes Using A Markov Assumption In this paper, the authors show how probabilities and actuarial values ... intensities are suggested as a way to extend the approach to the inhomogeneous case. From Actuarial ...- Authors: Bruce Jones
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Markov Chain
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A Ballistic Approach to Actuarial Problems
A Ballistic Approach to Actuarial Problems This ... paper shows how actuarial pricing based on the mathematical concept of present value can be formulated and ...- Authors: J. C. Smith, Michael Stramaglia
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Markov Chain
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Using Reversible Jump MCMC to Account for Model Uncertainty
uncertainty through the Reversible Jump Markov Chain Monte Carlo [RJMCMC] method. When using the RJMCMC method ... a regime-switching situation, the chain determines the optimal number of regimes by jumping between various ...- Authors: Brian Hartman, Jeff R Hart
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Modeling & Statistical Methods>Markov Chain
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Diagnostics and Tests for Abrupt Change with an Application to a Two-State Markov Chain
Diagnostics and Tests for Abrupt Change with an Application to a Two-State Markov Chain ... identification of abrupt change in the mean level of a process where the mean and variance of the underlying ...- Authors: J L Van Wyk, F Lombard
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Markov Chain