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On a Class of Discrete Time Renewal Risk Models
On a Class of Discrete Time Renewal Risk Models We consider a class of compound renewal risk process ... have a discrete Km distribution. The classical compound binomial risk model is a special case when m = ...- Authors: Shuanming Li
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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On The Numerical Evaluation of Survival Probabilities
On The Numerical Evaluation of Survival Probabilities This paper introduces a new direction for evaluating ... his book ‘Survival Probabilities: The goal of Risk Theory’. Some of special cases can be considered as ...- Authors: Marc Goovaerts
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Non-exponential Bounds on the Tails of Compound Distributions
Non-exponential Bounds on the Tails of Compound Distributions Random sum models with compound distributions ... are used extensively in modeling of insurance risks. Unfortunately, the compound distributions themselves ...- Authors: Gordon E Willmot, Xiaodong Sheldon Lin
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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CIA Task Force on Segregated Fund Investment Guarantees excerpt from the Canadian Institute of Actuaries
Task Force on Segregated Fund Investment Guarantees excerpt from the Canadian Institute of Actuaries ... Actuaries A discussion of methods used to determine the liability of segregated fund or separate account investment ...- Authors: 107929_firstname Canadian Institute of Actuaries
- Date: Jul 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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On the Balducci Hypothesis
On the Balducci Hypothesis This article investigates the simplicity of the Balducci hypothesis, and ... and compares the fractional-age death probability given by three widely used assumptions: uniform distribution ...- Authors: Ho Kuen Ng
- Date: Jan 1988
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Experience Studies & Data>Mortality; Modeling & Statistical Methods>Stochastic models
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A Numerical Method for Computing the Probability Distribution of Total Risk of Portfolio
Method for Computing the Probability Distribution of Total Risk of Portfolio In the present paper, we propose ... numerical method of computing the probability distribution of S. Inversion of the Laplace transform ...- Authors: Rohan J Dalpatadu, Andy Tsang, Ashok K Singh
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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The Use of Analytical-Statistical Simulation Approach in Operational Risk Analysis
The Use of Analytical-Statistical Simulation Approach in Operational Risk Analysis Quantitative operational ... operational risk assessment is essentially based on stochastic scenario modeling of operational loss sequences ...- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Operational risks; Modeling & Statistical Methods>Stochastic models
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Longevity Greeks: What Insurers and Capital Market Investors Should Know About?
three important longevity Greeks on the basis of an extended version of the Lee-Carter model that incorporates ... incorporates stochastic volatility. Hedging;Longevity risk;Stochastic models 6442477636 7/31/2017 12:00:00 ...- Authors: Kenneth Zhou, Siu-Hang Li
- Date: Jul 2017
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Demography>Longevity; Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Risk management
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The Distribution of Discounted Compound Renewal Sums
The Distribution of Discounted Compound Renewal Sums This is a presentation from 43rd Actuarial Research ... present the moment generating function of the discounted compound Poisson aggregate sums when the deflated ...- Authors: José Garrido, GHISLAIN LEVEILLE, Ya Fang Wang
- Date: Nov 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Immunization Under Stochastic Models of the Term Structure
Models of the Term Structure The purpose of this paper is to survey some new results concerning the term ... term structure of interest rates and discuss actuarial applications. The term structure of interest rates ...- Authors: Phelim Boyle
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Modeling & Statistical Methods>Stochastic models