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Open Forum on the Actuarial Syllabus for the New Millennium
Open Forum on the Actuarial Syllabus for the New Millennium This is the abstract from a 1998 presentation ... presentation at the 33rd Actuarial Research Conference regarding the revised syllabus for the Society of Actuaries ...- Authors: Elias Shiu
- Date: Jan 1999
- Competency: Leadership>Professional network leverage
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Professional development
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Multivariate Duration Analysis
mathematical formulation of the way in which a yield curve moves. A discussion of the paper follows. From ... From Transactions of Society of Actuaries 1991, Vol. 43. Analytics and informatics;Asset valuation;Discount ...- 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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Stochastic Life Contingencies with Solvency Considerations
Considerations This paper addresses the extension of the theory of life contingencies to a stochastic ... surplus. A discussion of the paper follows. From Transactions of Society of Actuaries 1990, Vol. 42 ...- Authors: Daniel Dufresne, Edward Frees, Elias Shiu
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession>Competencies; Financial Reporting & Accounting
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Cash Flow Analysis by the Prudent Banker's Method, or Discounting Turned on its Head
Cash Flow Analysis by the Prudent Banker's Method, or Discounting Turned on its Head Traditional ... insurance managers adopt the methods of prudent bankers. From Transactions of Society of Actuaries 1987, Vol ...- Authors: Application Administrator, Mark Evans, Roger E Johnson, Thomas Marra, Claude Y Paquin, S. Promislow, William L Roach, Eric Seah, Elias Shiu, Courtland C Smith, Donald R Sondergeld
- Date: Oct 1987
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Pricing - Life Insurance
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Leveraging Up Return on Equity by Issuing Subordinated Indebtedness
paper presents a formula for calculating the expected rate of return on shareholders' equity when ... subordinated indebtedness. The ROE formula is also applicable to the case of raising capital by issuing ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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A Retrospective on 50 Years of Advances in Theory and Practice of Finance
Retrospective on 50 Years of Advances in Theory and Practice of Finance This session reviews the past half century's ... pricing model, option-pricing theory, term structure of interest rate models, and so on. Their application ...- Authors: James C Hickman, Elias Shiu
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Economics>Financial economics
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Binomial Lattice for the Cox, Ingersoll and Ross Spot Rate Process
Lattice for the Cox, Ingersoll and Ross Spot Rate Process This paper provides commentary on the paper entitled ... entitled 'A Discrete Equilibrium Model of the Term Structure' by N. J. Macleod, and J. D. Thomison ...- 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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Integer Functions and Life Contingencies
Contingencies In this paper, the author studies the ‘applications of the integer functions, ceiling and ... applying a theorem of the mean value type for integrals and uniform distribution of deaths assumptions ...- Authors: Cecil J Nesbitt, Elias Shiu, A D Wilkie
- Date: Oct 1982
- Competency: Professional Values>Practice expertise; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession>Professional development
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Option Pricing by Esscher Transforms
shows that the Esscher transform is an efficient technique for valuing derivative securities if the logarithms ... logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary ...- 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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Arbitrage-Free Pricing of Interest-Rate Contingent Claims
Arbitrage-Free Pricing of Interest-Rate Contingent Claims This paper discusses the pricing of bond options and ... lattices. Current binomial models are faulty because the put-call parity relationship may not hold for all ...- Authors: Elias Shiu, Application Administrator, Hal Warren Pedersen
- Date: Oct 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value