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Optimal Investment Allocation in a Jump Diffusion Risk Model with Investment: A Numerical Analysis of Several Examples
an ex- ponential utility function. Hipp and Plum (2000) considered the optimal investment for insurers ... Brownian motion. Deelstra, Grasselli and Koehl (2000) studied the stock-bond optimal investment in a ...- Authors: JENG ENG LIN, BLANE A LAUBIS
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Capital markets; Modeling & Statistical Methods>Asset modeling
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Relative Importance of Risk Sources in Insurance Systems
Relative Importance of Risk Sources in Insurance Systems Actuaries and other managers of risk ... considering a pool of policies that is subject to mortality, the risk of a disaster that is common to all ...- Authors: Edward Frees
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management
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Aspects of Loan Guarantees Portfolio Diversification
Merton and Bodie 1992, Greenwald 1998, Lonkevich 2000). Guarantees can be implicit or explicit; for instance ... mV dt + S dzV + sVW · dzVW where mV = [mV1, mV2, …, mVN]' is the mean vector, S 2 = S S' the covariance ...- Authors: Michel Gendron, Application Administrator
- Date: Jan 2001
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Bounds for Ruin Probabilities and Value at Risk
problem. For the stop-loss bound problem, Cox (1991)’s method is also investigated to confirm our SOS program ... amounting $40.2 billion (Yu and Lin, 2007). As for mortality risks, a recent example of unanticipated catastrophe ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Hedging Strategies Using Catastrophe Insurance Options
of ten percentage points or more above that of U.S. Treasury bonds.: A severe catastrophe loss could ... used to model the catastrophe claims process. Table 1 gives an example of the result summary of a single ...- Authors: Thomas O'Brien
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management>Capital management - ERM
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An Option-Based Operational Risk Management on Pandemics
under the attack of an influenza pandemic. Let ( )S t be the fraction of employees that has an infectious ... disease at time t . It is obvious that ( ) [0,1]S t ∈ , where 0S = denotes nobody is infected in the ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Operational risks
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Experience-Rating Group Life Insurance
Experience-Rating Group Life Insurance This paper explores the principles upon ... rates=Interest rates;Group health plans;Group life plans;Mortality assumption;Premiums;Stop-loss insurance;Workers' ...- Authors: John C Angle, William A Bailey, Application Administrator, Theodore W Garrison, Hans U Gerber, Donald A Jones, Edward J Porto, William J Schreiner, Myron Henry Margolin, James E Jeffrey
- Date: Oct 1974
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Pricing - Life Insurance; Life Insurance>Group plans - Life Insurance; Modeling & Statistical Methods
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Ordinary Life Insurance Limits
Ordinary Life Insurance Limits Paper discussing issues pertaining to setting and managing issue limits ... reinsurance;Risk categories=Risk classes;Underwriting;Mortality risk; 1162 6/1/1953 12:00:00 AM ...- Authors: E A Dougherty
- Date: Jun 1953
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Underwriting - Life Insurance; Reinsurance>Life reinsurance
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2009 Economic Capital for Life Insurance Companies –Complete Report
2009 Economic ... Mark Scanlon Simon Stronkhorst Table of Contents 1. Introduction................... ... ....................................41 6.5 Mortality Risk ........................................- Authors: Hubert B Mueller, Mark Scanlon, Ian Farr, Simon W Stronkhorst
- Date: Feb 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management
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An Empirical Method of Comparing Risks using Stochastic Dominance
relative frequency for each schedule are as shown in Table 1. Under all three schedules, the expected cost ... basis for selecting the "best" cost schedule. TABLE 1 AMOUNT REIMBURSED AND EXPECTED FREQUENCY OF ...- Authors: H Tolley, MICHAEL RENE KOSOROK
- Date: Oct 1989
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Transactions of the SOA
- Topics: Enterprise Risk Management>Risk appetite