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An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators
Without relying on formulas, this paper presents the important concepts underlying the theory of arbitrage-free ... arbitrage-free pricing of interest-rate-contingent cash flows: absence of opportunities for riskless arbitrage ...- Authors: James A Tilley
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Stochastic models
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A New Collective Risk Model
Collective Risk Model In this paper, a mathematical model is constructed to study the deviations of claims ... random stochastic processes. Discussions of the paper submitted by 2 readers follows Discount ...- Authors: John A Beekman, Ethan Stroh, Richard W Ziock
- Date: Oct 1973
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Stochastic models
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CSTEP: a HPC Platform for Scenario Reduction Research on Efficient Stochastic Modeling - Representative Scenario Approach
Reduction Research on Efficient Stochastic Modeling - Representative Scenario Approach The CSTEP 'Cluster ... 'Cluster Sampling for Tail Estimation of Probability' system is a desktop-based application to assist ...- Authors: Paul H Johnson, Yvonne Chueh
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Stochastic models; Technology & Applications>Analytics and informatics
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An Introduction to Collective Risk Theory and its Application to Stop-Loss Reinsurance
An Introduction to Collective Risk Theory and its Application to Stop-Loss Reinsurance This paper presents ... collective risk theory. In collective risk theory one seeks to investigate directly the risk enterprise ...- Authors: Ernest A Arvanitis, Russell M Collins, Paul H Jackson, Robert C Tookey, Paul Markham Kahn, Herbert L Feay
- Date: Oct 1962
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Stochastic models; Reinsurance>Stop-loss insurance
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Optimal Ruin Calculations Using Partial Stochastic Information
Stochastic Information Discussion of how to obtain tight upper and lower bounds on E[hX] for a given function ... and a random variable X with three known moments. Risk measurement;Stochastic models; 2551 10/1/1984 ...- Authors: Samuel Cox, Patrick L Brockett
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Stochastic models
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Esscher Approximations for Maximum Likelihood Estimates - Exploratory Ideas
Likelihood Estimates - Exploratory Ideas The series expansion of a probability density function, known to ... actuaries by Esscher's name and to statisticians as the saddlepoint approximation, typically gets integrated ...- Authors: James Bridgeman
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Stochastic models
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Conditional Stochastic Interest Rate Models in Life Contingencies
papers treat the rate of interest as a stochastic process in the determination of values of insurances ... functions. None of these papers consider the current interest rate as a starting point in the model. In this ...- Authors: Harry H Panjer, UNKNOWN David Bellhouse
- Date: Jan 1981
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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2012 AAT Survey Results
2012 AAT Survey Results Survey of appointed actuaries about asset adequacy testing techniques currently ...- Authors: Society of Actuaries
- Date: Nov 2012
- Competency: Professional Values>Practice expertise; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Asset liability management; Life Insurance>Policyholder behavior - Life Insurance; Life Insurance>Reserves - Life Insurance; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models