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Nonparametric Tests for Heterogeneity of Risk
Heterogeneity of Risk Consider a portfolio of insurance policies where the mean frquency of claims for ... assumption is that the number of claims for a policy is a Poisson random variable. In this paper the author shows ...- Authors: Jacques F Carriere
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Nonparametric Estimators of a Distribution Function Base on Mixtures of Gamma Distributions
Nonparametric Estimators of a Distribution Function Base on Mixtures of Gamma Distributions This paper ... nonparametric estimators of the distribution function that are based on mixtures of gamma distributions when ...- Authors: Jacques F Carriere
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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A Mixed Lognormal Estimator of a Risk Distribution
Estimator of a Risk Distribution This paper discusses a mixed lognormal estimator of a risk distribution ... distribution. Using the observed claim frequencies of a portfolio, the author presents a continuous nonparametric ...- Authors: Jacques F Carriere
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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An Investigation of the Gompertz Law of Mortality
Investigation of the Gompertz Law of Mortality This article investigates the properties of the Gompertz distribution ... given in terms of the left-truncated gamma function. Moreover, approximations for the mean, variance ...- Authors: Jacques F Carriere
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance; Modeling & Statistical Methods
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Mixed Lognormal Distributions
this paper, the unconditional probability density functions of portfolio claim amounts based on several ... several assumed risk distributions are found. From the Actuarial Research Clearing House 1994 Vol. 2 ...- Authors: Jacques F Carriere, Christina Ho
- Date: Jan 1994
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Valuation of a Catastrophe Insurance Futures Contract Using Compound Poisson Claim Assumptions
Valuation of a Catastrophe Insurance Futures Contract Using Compound Poisson Claim Assumptions In 1993 ... 1993, the Chicago Board of Trade introduced a futures contract on a financial index that reflects the insurance ...- Authors: Jacques F Carriere, Kevin Andrew Buhr
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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The Effect of Removing Cancer as a Cause of Death When it is Correlated with Other Causes
The Effect of Removing Cancer as a Cause of Death When it is Correlated with Other Causes Multiple decrement ... theory traditionally is based on the assumption that competing causes of decrement are stochastically ...- Authors: Jacques F Carriere
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Annuity Valuation with Dependent Mortality
Dependent Mortality This paper investigates the use of models of dependent mortality for determining annuity ... annuity values. We discuss a broad class of parametric models using a bivariate survivorship function called ...- Authors: Jacques F Carriere, Edward Frees, Emiliano Valdez
- Date: May 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Pricing - Annuities; Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments
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Self-Financing Markets and Eventual Arbitrage
This paper argues that the self-financing axiom with mild assumptions on the conditional expected returns ... is accomplished by minimizing the conditional variance of a trade when the conditional expectation is a ...- Authors: Jacques F Carriere
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments
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Estimation of a Multivariate Copula
Estimation of a Multivariate Copula This paper develops the formula for estimation of multivariate copula ... results can be applied to the estimation of correlation coefficients. From the Actuarial Research Clearing ...- Authors: Jacques F Carriere
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Estimation methods