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Divided Differences and Determinants
Divided Differences and Determinants In problem 24, Chapter 5, of Kellison's 'Fundamentals of Numerical Analysis' it is indicated how a divided difference can be expressed ...- Authors: Hans U Gerber
- Date: Jan 1981
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Option Pricing by Esscher Transforms
Option Pricing by Esscher Transforms This paper shows that the Esscher transform is an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive ...- 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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Risk Theory with the Gamma Process
Risk Theory with the Gamma Process In classical collective risk theory, the aggregate claims process is assumed to be compound Poisson. In this paper the authors examine a more general model for ...- Authors: Hans U Gerber, Elias Shiu, Francois Dufresne
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Some Moment Inequalities and Their Applications
Some Moment Inequalities and Their Applications This paper shows how some moment inequalities of probability theory can be applied in three different areas of actuarial science - compound ...- 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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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 immediately before ruin, and the deficit at ruin. The classical model is generalized by ...- 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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Experience-Rating Group Life Insurance
Experience-Rating Group Life Insurance This paper explores the principles upon which experience-rated group insurance currently is based and discusses the question of whether or not these ...- 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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Option Pricing by Esscher Transforms
Option Pricing by Esscher Transforms This paper shows that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive ...- 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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A Proof Of The Schuette-Nesbitt Formula For Dependent Events
A Proof Of The Schuette-Nesbitt Formula For Dependent Events This is Mr. Gerber's proof of the Schuette-Nesbitt formula. N/A; 18963 1/1/1979 12:00:00 AM ...- Authors: Hans U Gerber
- Date: Jan 1979
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Professional associations
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The Uniform Distribution of Deaths Assumption and Probability Theory
The Uniform Distribution of Deaths Assumption and Probability Theory The purpose of this note is to show how certain formulas of life contingencies can be derived almost painlessly under the ...- Authors: Hans U Gerber, Donald A Jones
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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The Simplex Algorithm and the Exchange Method
The Simplex Algorithm and the Exchange Method The presentation of the simplex algorithm in 'A Study Manual For Operations Research' [edited by Eugene A. Narragon] is difficult to follow.- Authors: Hans U Gerber
- Date: Jan 1981
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods