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Minimum-Rz Moving-Weighted-Average Formulas
Minimum-Rz Moving-Weighted-Average Formulas In this paper, the coefficients of the minimum-Rz moving-weighted-average formulas are derived using matrix algebra and the method of Lagrange ...- Authors: Elias Shiu
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Experience Studies & Data; Modeling & Statistical Methods
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Models for the Distribution of Aggregate Claims in Risk Theory
Models for the Distribution of Aggregate Claims in Risk Theory This paper considers the distribution of aggregate claims of an insurer. The general form of the distribution is considered ...- Authors: Harry H Panjer, Elias Shiu, Gordon E Willmot
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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Some Remarks on Derivatives Markets
Some Remarks on Derivatives Markets A study note for Exam MFE (Actuarial Models–Financial Economics Segment). This document describes the parameter d (delta) in the Black-Scholes formula.- Authors: Elias Shiu
- Date: Nov 2011
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Actuarial Research Clearing House 1998 VOL. 2 A Joint-Life and Reserve Problem
Actuarial Research Clearing House 1998 VOL. 2 A Joint-Life and Reserve Problem The following problem is from the 1968 Society of Actuaries Part 4 Examination on Life Contingencies. It is an ...- Authors: Elias Shiu, Khang-Yee Lim
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance
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The Time Value of Ruin in a Sparre Andersen Model: Ruin Theory by Divided Differences
The Time Value of Ruin in a Sparre Andersen Model: Ruin Theory by Divided Differences This paper discusses the time value of ruin in a Sparre Anderson Model and presents multiple equations, ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Option Pricing Without Tears: Valuing Equity-Linked Death Benefits
Option Pricing Without Tears: Valuing Equity-Linked Death Benefits This presentation shows that, if the options or guarantees are exercisable only at the moment of death of the policyholder, the ...- Authors: Elias Shiu, Hans U Gerber, Hailiang Yang
- Date: Feb 2014
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 6: An Actuarial Bridge to Option Pricing
Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 6: An Actuarial Bridge to Option Pricing Actuaries measure, model, and manage risks. Risk associated with the investment ...- Authors: Hans U Gerber, Elias Shiu
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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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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Derivatives of Decreasing Life Annuity
Derivatives of Decreasing Life Annuity A short note on derivatives of decreasing life annuities that was motivated by Exercise 5.35 on page 156 of 'Actuarial Mathematics'.- Authors: Elias Shiu
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Divided Differences by Contour Integration
Divided Differences by Contour Integration The Cauchy integral formula is applied to derive various results on divided differences. Analytics and informatics; 17660 1/1/1983 12:00:00 AM ...- Authors: Elias Shiu
- Date: Jan 1983
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Estimation methods