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Deflators - The Solution to a Stochastic Conundrum?
Issue No. 45 R I S K S A N D R E W A R D S ISSUE NO. 45 • JULY 2004 TH E NE W S L E T T E R O F T ... T H E IN V E S T M E N T SE C T I O N PU B L I S H E D I N SC H A U M B U R G, I L L . BY T H E ...- Authors: Don Wilson
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Life Insurance; Modeling & Statistical Methods>Stochastic models
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On The Numerical Evaluation of Survival Probabilities
|i x Till- equation satisfied by the probability U(w,t) surviving at least t timo intervals given that ... be written down as follows : U(w,t) « F(w + (1 + n)t,t) - (1 + n) /q U (o , t - t ) f (w + (1 + n)T,x)dT ...- 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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Immunization Under Stochastic Models of the Term Structure
(b) The price P(t,s) at time t of a pure discount bond which matures at time s (t<~s) is determined by ... assessment at time t, of the segment /r~T'l. t < T< s} of the spot rate process over the term of the bond ...- 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
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Guaranteed Benefits in Incomplete Markets and Risk Analysis
Guaranteed Benefits in Incomplete Markets and Risk Analysis This paper presents a methodology ... guaranteed minimum death benefit of a variable annuity in a market model with jumps. Recent developments ...- Authors: George N Argesanu
- 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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Analysis of the Ruin Probabilty Using Laplace Transforms and Karamata Tauberian Theorem
decays exponen- tially fast as the initial capital u → ∞. In this note, the asymptotic behavior of the ... presents an exponential decay as the initial capital u→∞ (Cramer, 1930). If the Cramer-Lundberg condition ...- Authors: CORINA DANA CONSTANTINESCU, Enrique Thomann
- 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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Tight Approximation of Basic Characteristics of Classical and Non-Classical Surplus Processes
Tight Approximation of Basic Characteristics of Classical and Non-Classical Surplus Processes We propose asymptotically correct two-sided ... Assumptions;Stochastic models;Risk theory; 804 1/1/2000 12:00:00 AM ...- Authors: Vladimir Kalashnikov
- Date: Jan 2000
- 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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Simplified Cash Flow Testing of Traditional Participating Whole Life Insurance
Committee Effective August 11, 1995 65 Table of Contents Introduction a. An Overviewofthe ... of course, [ want to thank my supervisor, Frank S. Irish, for his continua] support and guidance tl~ough ...- Authors: Dorothy Andrews
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance>Reserves - Life Insurance; Life Insurance>Whole life; Modeling & Statistical Methods>Stochastic models
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Stochastic Model: A Telescope or Kaleidoscope?
Stochastic ... No. 44 R I S K S A N D R E W A R D S ISSUE NO. 44 • FEBRUARY 2004 TH E NE W S L E T T E R O F ... F T H E IN V E S T M E N T SE C T I O N PU B L I S H E D I N SC H A U M B U R G, I L L . BY T H ...- Authors: Vivek Gupta
- Date: Feb 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Global Perspectives>Global markets; Modeling & Statistical Methods>Stochastic models
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Inflated-Parameter Family of Generalized Power Series Distributions And Their Application In Analysis Of Overdispersed Insurance Data
Inflated-Parameter Family of Generalized Power Series Distributions And Their Application In Analysis Of Overdispersed Insurance ... Assumptions;Computer science;Inflation;Risk theory; 805 1/1/2000 12:00:00 AM ...- Authors: Nikolai Kolev, Leda Minkova, Plamen Neytchev
- Date: Jan 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Professional development; Modeling & Statistical Methods>Stochastic models
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An Optimal Model for Asset Liability Management
An Optimal Model for Asset Liability Management This paper addresses the stochastic modeling for managing ... life=VUL;Yield curve=Term structure;Interest rate risk;Mortality risk; 653 1/1/1996 12:00:00 AM ...- Authors: Lijia Guo
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Stochastic models