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A Stochastic Approach To Long Term Disability Valuation
A Stochastic Approach To Long Term Disability Valuation This paper discusses stochastic treatments for insured Long Term Disability [LTD] benefits under a group insurance policy. Disability ...- Authors: Peter Douglas
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models
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A Multirisk Stochastic Process
A Multirisk Stochastic Process The subject of this paper is a mathematical model for insurance company risks formed by a linear combination of four stochastic processes recognizing claim ...- Authors: John A Beekman, Harry H Panjer, UNKNOWN David Bellhouse, Clinton P Fuelling
- Date: Oct 1978
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Stochastic models
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A Practical Concept of Tail Correlation
A Practical Concept of Tail Correlation This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper ...- Authors: Application Administrator
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Multivariate Dependence Modeling Using Pair-Copulas
Multivariate Dependence Modeling Using Pair-Copulas In the copula literature there are many bivariate distribution families but very few higher dimensional ones. Moreover, most of these are ...- Authors: Doris Y Schirmacher, Ernesto Schirmacher
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Actuarial Profession>Professional development; Enterprise Risk Management>Financial management; Modeling & Statistical Methods>Stochastic models
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Longevity Greeks: What Insurers and Capital Market Investors Should Know About?
Longevity Greeks: What Insurers and Capital Market Investors Should Know About? In this paper, we derive three important longevity Greeks on the basis of an extended version of the Lee-Carter ...- Authors: Kenneth Zhou, Siu-Hang Li
- Date: Jul 2017
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Demography>Longevity; Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Risk management