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REROSHE: The Concept of a Risk-Free Equivalent Return on Shareholders' Equity
REROSHE: The Concept of a Risk-Free Equivalent Return on Shareholders' Equity The author proposes ... proposes the concept of a risk-free equivalent rate of return on shareholders' equity, or ‘REROSHE,’ as ...- Authors: Alastair G Longley-Cook, Elias Shiu, Donald R Sondergeld, Oakley E Van Slyke, Patrick L Brockett
- Date: Oct 1983
- Competency: External Forces & Industry Knowledge
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Capital - Life Insurance
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On the Time Value of Ruin
On the Time Value of Ruin This paper studies the joint distribution of the time of ruin, the surplus ... and the deficit at ruin. The classical model is generalized by discounting with respect to the time ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Models for the Distribution of Aggregate Claims in Risk Theory
for the Distribution of Aggregate Claims in Risk Theory This paper considers the distribution of aggregate ... aggregate claims of an insurer. The general form of the distribution is considered initially, and, after ...- Authors: Harry H Panjer, Elias Shiu, Gordon E Willmot
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 6: An Actuarial Bridge to Option Pricing
Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 6: An Actuarial Bridge to Option ... Actuaries measure, model, and manage risks. Risk associated with the investment function is a major uncertainty ...- Authors: Hans U Gerber, Elias Shiu
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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On a Formula of Nesbitt
On a Formula of Nesbitt This is a study on the Nesbitt formula and the variants to this formula. Contingencies; ...- Authors: Elias Shiu
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Actuarial Profession>Professional development; Finance & Investments>Risk measurement - Finance & Investments
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Open Forum on the Actuarial Syllabus for the New Millennium
Open Forum on the Actuarial Syllabus for the New Millennium This is the abstract from a 1998 presentation ... presentation at the 33rd Actuarial Research Conference regarding the revised syllabus for the Society of Actuaries ...- Authors: Elias Shiu
- Date: Jan 1999
- Competency: Leadership>Professional network leverage
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Professional development
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Risk Theory with the Gamma Process
Risk Theory with the Gamma Process In classical collective risk theory, the aggregate claims process ... compound Poisson. In this paper the authors examine a more general model for the aggregate claims process: ...- Authors: Hans U Gerber, Elias Shiu, Francois Dufresne
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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A Retrospective on 50 Years of Advances in Theory and Practice of Finance
Retrospective on 50 Years of Advances in Theory and Practice of Finance This session reviews the past half ... option-pricing theory, term structure of interest rate models, and so on. Their application to asset and liability ...- Authors: James C Hickman, Elias Shiu
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Economics>Financial economics
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Evaluation of the Rollover Option
Evaluation of the Rollover Option The purpose of this paper is to examine a special case of option pricing ... pricing theory in which the insurance company promises the customer to exercise the option for him. This ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investments
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On Optimal Dividends: From Reflection to Refraction
On Optimal Dividends: From Reflection to Refraction Presents some elementary and down-to-earth calculations ... calculations for the optimal dividend strategy that maximizes the expectation of the discounted dividends ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods