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Weighted Pricing Functionals
weighted pricing functional piw : X → [0,∞], see Table 2.1. Actuarial pricing functionals w(x) piw[X] ... x1{x ≥ xp} E[X|X ≥ xp] +Var[X|X ≥ xp]/E[X|X ≥ xp] Table 2.1. Examples of the actuarial weighted pricing ...- Authors: Edward Furman, Ricardas Zitikis
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments
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Better Late Than Never. The Case of the Rollover Option
is derived in a risk- neutral environment. Mortality is also taken into account when cal- culating ... the insurance industry is to incorporate the mortality risk into it. It is typical that the guarantee ...- Authors: Claire Bilodeau
- Date: Jan 1997
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Life Insurance>Investment strategy - Life Insurance
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The Financial Implications of Finite Ruin Theory
The Financial Implications of Finite Ruin Theory An insurance company starts with an initial ... stockholders. What remains is the following year’s surplus. The process continues. This paper describes ...- Authors: Glenn Meyers
- Date: Jan 1986
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Risk Premiums and Their Applications
Risk Premiums and Their Applications Je®rey S. Pai I. H. ASPER SCHOOL OF BUSINESS University of Manitoba ... ¦(n)(u) = E[f(X ¡ u)+gn]; u ¸ 0; n = 1; 2; ¢ ¢ ¢ ; (1) where (x¡ u)+ = 8><>: 0; for x · u;x¡ u; for ...- Authors: Jeffrey S Pai
- Date: Jan 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Asymptotics In The Subexponential Case
Asymptotics In The Subexponential Case This is a summary of the presentation given during the ARC Conference. Its purpose was to give ... the actuarial literature. Risk theory; 800 1/1/2000 12:00:00 AM ...- Authors: DIEGO HERNANDEZRANGEL
- Date: Jan 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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A Risk Premium Calculation Principle Based On The Aggregate Deviations Of The Risk Reserve Process
A Risk Premium Calculation Principle Based On The Aggregate Deviations Of The Risk Reserve Process ... insured over a finite time interval. Mortality rates=Mortality tables=Death rates ;Premiums;Risk theory; ...- Authors: Colin M Ramsay
- Date: Jan 1984
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments
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Preliminary Analysis of Pet Insurance Data
Keywords : pricing; loss cost; risk classifications; mortality and morbidity experience 1 Introduction In 2003 ... (1999) and Egenvall et al. (1998),(1999), (1999a), (2000). However, these analytical studies were strictly ...- Authors: Jeffrey S Pai, Kevin Shand, Xikui Wang
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Risk measurement - Finance & Investments
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Martingales and Ruin Probability
and then use it to give a short proof of Lundb(ng s inequality. Theorem 1.1. Let X = (X,,)n~r be a sub-martingale ... E(X~ +) < E(iXN]). (1) A.P( ,nax X,, > A) < E(XN : u<,<N o _ < , , < N - - - - _ _ - - - - - - ...- Authors: Gordon E Willmot, Hailiang Yang
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Stochastic Ordering of Reinsurance Structures
Rothschild- Stiglitz second-order stochastic dominance (R-S SSD) with equal means as pioneered by Rothschild and ... frequency and independent of x. S denotes the corresponding aggregate loss and S = ∑N i=1 xi, where i is the ...- Authors: Hou-Wen Jeng
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Strategic risks; Finance & Investments>Risk measurement - Finance & Investments
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Interval Estimates for Risk Loads for Insurers
Feldblum. Confidence intervals for the betas in TABLE 4 [Profit Margins and Their Standard Deviations ... generate interval estimates for Betas shown in the TABLE 5. N/A; 608 1/1/1995 12:00:00 AM ...- Authors: William E Bailey
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods