Description: This paper thoroughly describes risk premium calculation based on an insurance portfolio consisting of policies risks insured over a finite time interval.

Description: In the present paper, we propose and investigate a numerical method of computing the probability distribution of S. Inversion of the Laplace transform moment generating function is shown to be a better approach than the existing recursive method for find the distribution of sum of several independent random variables. In the continuous case, in many situations, numerical inversion needs to be used to compute the probability distribution function of the sum.

Description: A theoretical study of the interrelationship between the financial and insurance risk markets.

Description: This is the abstract of the paper 'Pricing of Credit Derivatives'. This talk will give an overview of current pricing techniques. We first show how to build a credit curve. A credit curve gives the instantaneous default probability of a party at any time in the future. It is as important to credit derivative pricing as the yield curve is to fixed income derivative pricing.

Description: This paper introduces a new direction for evaluating numerically survival probabilities pointed out by H. Seal in his book ‘Survival Probabilities: The goal of Risk Theory’. Some of special cases can be considered as a weighted Poisson process with an infinitely divisible mixing distribution. This property is well known for the negative binomial case [gamma mixing distribution].

Description: Random sum models with compound distributions are used extensively in modeling of insurance risks. Unfortunately, the compound distributions themselves are awkward to evaluate. Consequently, various numerical and analytical approximative techniques have been used. In this talk we derive various upper and lower bounds on the tails of compound distributions. Some notions in reliability theory are used.

Description: These are the abstract and reference of the paper 'Bounds on Multiple Contingent Claims'. Lo considered the problem on bounding a European option on a single asset. He obtained an upper bound on the payoff of the European call in terms of the mean and variance of the underlying asset. In this talk, we extend Lo's result to the multi-asset case. Unlike the one asset case, the correlations between the assets play an important role and have to be taken into consideration.

Description: An insurance company starts with an initial surplus, collects premium, pays claims to policyholders and pays dividends to stockholders. What remains is the following year’s surplus. The process continues. This paper describes how to calculate the distribution of surplus for any given year. With these distributions, one can make the calculations of premiums and dividends.

Description: This is a letter from Jan M. Hoem to Arnold F. Shapiro about Exposed-to-risk considerations based on the Balducci assumption and other assumptions in the analysis of mortality.

Description: This is the abstract of the article 'A Proposed Unified Valuation System'. This article will briefly describe some analytical examples of a stochastic modeling of risk use to illustrate the S-curve approach to valuation, but more importantly describe key additional area of research and theory, which need to be developed. The focus of this presentation is an invitation for additional research to support a new approach to statutory valuation of life and health risk that can result in better management and regulatory information.