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Solution of the Risk Load Problem of Effect on Variability
Solution of the Risk Load Problem of Effect on Variability The method described in this paper is to ... to each category of business and reserves in proportion to its estimated effect on an insurer's surplus ...- Authors: Daniel F Gogol
- Date: Jan 1993
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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A Model for Analyzing the Impact of Selective Lapsation on Mortality
for Analyzing the Impact of Selective Lapsation on Mortality This is the abstract of a paper that presents ... examining the effect of various relationships between mortality rates and lapse rates on the mortality ...- Authors: Bruce Jones
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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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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Stochastic Interest Rates and Insurance Portfolios the Impact of Model and Parameter Selection
Portfolios the Impact of Model and Parameter Selection The standard deviation of the present value of benefits ... benefits of portfolios of identical insurance contracts are examined when both the mortality and the force ...- Authors: Gary Parker
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Lundberg Bounds on the Tails of Compound Distributions
Bounds on the Tails of Compound Distributions This is the abstract for the referenced paper on the subject ... subject of Lundberg bounds on the tails of compound distributions. From ACTUARIAL RESEARCH CLEARING ...- Authors: Gordon E Willmot, XIAODONG LIN
- Date: Jan 1980
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Lundberg Bounds on the Tails of Compound Distributions
Lundberg Bounds on the Tails of Compound Distributions This is the abstract of an article about the classical ... inequality of insurance risk theory. From ACTUARIAL RESEARCH CLEARING HOUSE 1994 VOL. 1. Risk theory; ...- Authors: Gordon E Willmot, Xiaodong Sheldon Lin
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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On the Confidence Interval of Black-Scholes Model
On the Confidence Interval of Black-Scholes Model This is the abstract of a paper that derives expressions ... expressions for the moments of the distribution of the option payoff in a Black Scholes economy. These results ...- Authors: Phelim Boyle, Hailiang Yang
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Optimization of the Ultimate Ruin Probability in Risk Theory
Optimization of the Ultimate Ruin Probability in Risk Theory The objective of this paper is to present ... method in the calculation of the minimal and maximal ultimate ruin probabilities in two risk models given ...- Authors: Etienne Marceau
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Evaluation of the Ruin Probability in Ordered Risk Models
Evaluation of the Ruin Probability in Ordered Risk Models 3/13/2019 12:00:00 AM ...- Authors: Michael Brown
- Date: Mar 2019
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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A Necessary and Sufficient Condition on Utility Functions for Decreasing Risk Aversion: A Proof using the General Mean Value Theorem.
Sufficient Condition on Utility Functions for Decreasing Risk Aversion: A Proof using the General Mean Value ... presents a proof using the general mean value theorem that under specified conditions, the insurance premium ...- Authors: Raj Prabaharan
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods