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Robust Credibility with the Kalman Filter
Robust Credibility with the Kalman Filter In the paper, the authors implement the empirical version of a robust Kalman filter credibility estimator with a data set, and compare its sensitivity to ...- Authors: José Garrido, Rosario Romera
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Estimators of the Regression Parameters of the Zeta Distribution
Estimators of the Regression Parameters of the Zeta Distribution The zeta distribution with regression parameters has been rarely used in statistics because of the difficulty of estimating the ...- Authors: Louis G Doray
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Catastrophe Risk Bonds
Catastrophe Risk Bonds This paper examines the pricing of catastrophe risk bonds. Catastrophe risk cannot be hedged by traditional securities. Therefore the pricing of catastrophe risk bonds ...- Authors: Samuel Cox, Hal Warren Pedersen
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Understanding Relationships Using Copulas
Understanding Relationships Using Copulas This paper introduces actuaries to the concept of 'copulas,' a tool for understanding relationships among multivariate outcomes. A copula ...- Authors: Edward Frees, Emiliano Valdez
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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A Bayesian Approach in Calculating Community Mortality Rates
A Bayesian Approach in Calculating Community Mortality Rates Mortality rates for a local community are desired in conjunction with the calculation of health-adjusted life expectancy HALE, an ...- Authors: Marjorie Rosenberg, Dennis G Fryback
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Between the Individual and Collective Models, Revisited
Between the Individual and Collective Models, Revisited In this paper the author shows that the aggregate claims distribution of a portfolio modeled by a mix of the individual and collective ...- Authors: Francois Dufresne
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods; Pensions & Retirement>Funding
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Why Not Random Interest?
Why Not Random Interest? This article poses the question, why doesn't the teaching of life contingencies start with the premise that the rate of investment income is a random process in a ...- Authors: James C Hickman
- Date: Feb 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Life Insurance>Pricing - Life Insurance; Modeling & Statistical Methods
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Session 68 - Products Across the Valuation Manual: Comparing PBR to PBR
Session 68 - Products Across the Valuation Manual: Comparing PBR to PBR As the Valuation Manual continues to evolve and PBR standards for additional products are drafted and incorporated, it will ...- Authors: Jason Kehrberg, Reanna Nicholsen, Benjamin Slutsker
- Date: Sep 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods; Modeling & Statistical Methods>Asset modeling
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Risks in Investment Accumulation Products: Recent Research
Risks in Investment Accumulation Products: Recent Research 1999 SOA Annual Meeting, San Francisco. This panel expanded on earlier research to examine the potential costs of long-term ...- Authors: Steven Miller, Peter Tilley, Martin Leroux
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments; Modeling & Statistical Methods
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Degree, Depth, and Frequency of Actuarial Reports to Company Management
Degree, Depth, and Frequency of Actuarial Reports to Company Management This discussion focuses on actuarial reports to management. From Record of Society of Actuaries, Vol. 1, No. 1. Budgets; ...- Authors: Barton H Clennon, Wilfred A Kraegel, Robert A Lyle, John A Maurer, John W Paige, Richard S Robertson
- Date: Mar 1975
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Actuarial Profession; Financial Reporting & Accounting; Modeling & Statistical Methods