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Option Pricing by Esscher Transforms
related papers in the finance literature are [16], [17], [21], [37], [50], [56], [57], [58], [66], [75] ... " Review of Financial Studies 2 (1989): 241-50. 17. BOYLE, P.P., AND TSE, Y.K. "An Algorithm for Computing ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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Some Moment Inequalities and Their Applications
Some Moment ... inequality 1 - exp( - tex) ~tx(t ) < = d~, (17) t which appears in example 5.12 of Bowers et ... ZERo-CouPoN BOND yt,s-- I 23456 qk * - -O0000 17(XI q~-~ 1700. p ,-- 1000 & is 0.088438 8o ...- Authors: Hans U Gerber
- Date: Oct 1986
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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An Algorithm for Computing Expected Stop-Loss Claims under a Group Life Contract
An Algorithm for Computing ... the stop-loss level, we get 2- /L u = - - (17) l - f " EXPECTED STOP-LOSS CLAIM We can now ... 6, 7. 8. 9. 10 11 12 13 14 15 16 17 18 19 20 318 ALGORITHM FOR COMPUTING EXPECTED ...- Authors: William A Bailey, Hans U Gerber, L Giles, Richard S Hester, Donald A Jones, John A Mereu, Gerald J Rankin, Courtland C Smith, William J Taylor
- Date: Oct 1972
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Group plans - Life Insurance; Modeling & Statistical Methods>Estimation methods; Modeling & Statistical Methods>Forecasting
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On Optimal Dividends: From Reflection to Refraction
On Optimal Dividends: From Reflection to Refraction Presents some elementary and down-to-earth calculations for the ... simplifies as ψ(x) = e–Rx. (6.21) 17 This is a well-known result; see, for example, ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Dividend Formulas in Group Insurance
Dividend Formulas in Group Insurance The paper discusses the optimal design of dividend - or premium ... year k is D~k = Mk- Mk-1, k = 1, 2 . . . . . (17) 4.4. Application In the special case where the ...- Authors: Hans U Gerber, James C Hickman, Donald A Jones, John A Mereu
- Date: Oct 1974
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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Pricing Perpetual Fund Protection With Withdrawal Option
Pricing Perpetual Fund Protection With Withdrawal Option Equity-indexed annuities [EIAs] can be viewed ... 13) to obtain (2.10) after some simplifications. 17 4. Comparison with the Perpetual Maximum Option ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Option Pricing by Esscher Transforms
related papers in the finance literature are [16], [17], [21], [37], [50], [56], [57], [58], [66], [75] ... IV. Option Pricing by Esscher Transforms 85 17. BOYLE, EE, AND TSE, Y.K. "An Algorithm for Com- ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Hot Topics in Separate Account Products
Hot Topics in Separate Account Products This presentation, session number 7PD, took place at the 2000 Annual Meeting of the Society of Actuaries, ... 17 Figure 3 shows you what the effect is over 10 years ...- Authors: Hans U Gerber, Peter Tilley, Marshall C Greenbaum, Mary Hardy
- Date: Oct 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Pricing - Annuities; Annuities>Variable annuities