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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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Evaluation of Ruin Probabilities
Evaluation of Ruin Probabilities This research paper presents two series formulas for the probability of eventual ruin derived by the operational calculus method. From the Actuarial Research ...- Authors: Elias Shiu
- Date: Jan 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Multivariate Duration Analysis
Multivariate Duration Analysis In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. A ...- Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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DUALITY BETWEEN UNIFORM DEATHS AND BALDUCCI ASSUMPTIONS
DUALITY BETWEEN UNIFORM DEATHS AND BALDUCCI ASSUMPTIONS This paper on the duality between uniform deaths and Balducci assumptions was motivated by earlier referenced works in which exposure ...- Authors: Elias Shiu
- Date: Jan 1980
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Applications
Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Applications This paper presents a unifying non-Bayesian statistical method for ...- Authors: Bradley P Carlin, Beda Chan, Thomas Herzog, William L Roach, Elias Shiu, Patrick L Brockett, Josh Babier, Wojciech Szatzschneider, E S Rosenbloom
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession; Modeling & Statistical Methods
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Practical Applications of the Ruin Function
Practical Applications of the Ruin Function This paper is intended to acquaint actuaries with a simple and practical application of the ruin function technique in the determination of the C-2 ...- Authors: John A Beekman, George E Reckin, Elias Shiu, John Snyder, Daniel J Schwark
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Transactions of the SOA
- Topics: Life Insurance; Modeling & Statistical Methods
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Multivariate Immunization Theory
Multivariate Immunization Theory This paper discusses extending the general nonparallel shift approach to duration analysis developed previously and explores the immunization model within the ...- Authors: Robert Reitano, Elias Shiu
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Binomial Lattice for the Cox, Ingersoll and Ross Spot Rate Process
Binomial Lattice for the Cox, Ingersoll and Ross Spot Rate Process This paper provides commentary on the paper entitled 'A Discrete Equilibrium Model of the Term Structure' by N. J.- Authors: Elias Shiu, ZHAOBI HA
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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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 optimal dividend strategy that maximizes the expectation of the discounted ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods