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Portfolio Risk Management with CVAR-Like Constraints
Markowitz [1952] discusses the tradeoff between the mean and variance of a portfolio. Since then, especially ... constraints to the traditional portfolio optimization problem. The CVaR optimization technique has the advantage ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Portfolio management - ERM
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An Option-Based Operational Risk Management on Pandemics
This paper employs the theory of real option pricing to address problems in the area of operational risk ... help firms determine the optimal triggers in the event of an influenza pandemic. The first stage proposes ...- 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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Annuity Lapse Rate Modeling: Tobit or Logit by Dr. Sam Cox and Yijia Lin
modeling annuity lapse rates. The approach is based on data provided by the Society of Actuaries’ Risk Management ... logit model and the same US data (he also used Korean data separately). We find that the tobit model is ...- Authors: Samuel Cox, Yijia Lin
- Date: Nov 2006
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Annuities
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Securitization of Insurance Liabilities
Securitization of Insurance Liabilities This session from the 1995 SOA New York Meeting covers securitization ... securitization of insurance liabilities. Securitization of insurance risk is an alternative risk transfer ...- Authors: Samuel Cox, Hans Buhlmann
- Date: May 1995
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments
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Managing Retirement Assets Symposium: Securitization of Mortality Risks in Life Annuities
Symposium: Securitization of Mortality Risks in Life Annuities The purpose of this paper is to study mortality-based ... price the proposed mortality securities. The focus is on individual annuity data, although some of the ...- Authors: Samuel Cox, Yijia Lin
- Date: Apr 2004
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Annuities>Individual annuities; Pensions & Retirement>Defined benefit plans
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Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization
Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization ... paper incorporates a jump-diffusion process into the original Lee-Carter model, and uses it to forecast ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Systemic risk; Modeling & Statistical Methods>Stochastic models
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Statistical Adjustment of Mortality Tables to Reflect Known Information
Statistical Adjustment of Mortality Tables to Reflect Known Information This paper presents a statistical ...- Authors: Samuel Cox, Allan C Weaver, Patrick L Brockett
- Date: Oct 1984
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Pricing - Life Insurance; Modeling & Statistical Methods
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SPDA - Interest-Sensitive Cash-Flow Analysis
Single Premium Deferred Annuities, the panelists discussed the results of the 1992 Single Premium Deferred ... they identified some additional research in the area of interest-sensitive cash-flow analysis. Deferred ...- Authors: Samuel Cox, Peter B Deakins, Paul D Laporte, Warren Luckner
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Individual annuities
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Bounds on Expected Values of Insurance Payments and Option Prices
Bounds on Expected Values of Insurance Payments and Option Prices This paper presents best upper and ... and lower bounds on the expected value of an insurance payment under the terms of a contract written on ...- Authors: Samuel Cox
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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Actuarial Usage of Grouped Data: An Approach to Incorporating Secondary Data
Actuarial Usage of Grouped Data: An Approach to Incorporating Secondary Data This paper addresses some ... based on information theory. From Transactions of Society of Actuaries 1995, Vol. 47. Mortality modeling;Data ...- Authors: Samuel Cox, Patrick L Brockett, Yun Song, Boaz Golany, Fred Y Phillips
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Experience Studies & Data; Modeling & Statistical Methods