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Sequential Credibility Evaluation via Stochastic Approximation
in a sequential form as follows: O/n, ^ ~,,, = s~-~ - - - (~, , -~ - *~), (3) n which is a stochastic ... and Makov (1998)) E(x.+~ [ xl,x~ .... x,,,A) = E(,u [ x~,xz .... x,.,A) (6) n o ;~ - no+n~ m+no+n~ ...- Authors: Udi E Makov, Zinoviy Landsman
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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A Multirisk Stochastic Process
function P(x). Assume that E(X~) = Pl > 0. The X~'s represent the claims, and p, is the expected value ... function (s < t) is 0 P{x(t ) < ylX(s) = x} p(x, s; y, t) = -~y u.n-- {y - • exp [ -~( t - s)l}'-n ...- 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 Stochastic Approach To Long Term Disability Valuation
GLTD (the standard base LTD morbidity valuation table used in Canada) does not distinguish between terminations ... Traditionally, LTD valuation has used a deterministic life annuity function of the form [ ] [ ] dXk Age k k dxdX ...- Authors: Peter Douglas
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models
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A New Collective Risk Model
aggregate premiums is greater than the initial reserve u is e, where ~ = 0.001 or some other appropriately ... X, -- t(t,, + X)] > . I = The "initial reserve u" may be considered to be an amount of money which ...- Authors: John A Beekman, Ethan Stroh, Richard W Ziock
- Date: Oct 1973
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Stochastic models
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The Valuation of Interest-Senstive Cash Flows Using the Symbolic Methed
the cash flows are fixed, as in the case of an annuity certain, the valuation follows almost immediately ... depend on rates, as with a Single Premium Deferred Annuity (SPDA), the valuation must account for the variability ...- Authors: Matthew Clayton Modisett
- Date: Jan 1992
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Fixed annuities; Finance & Investments; Modeling & Statistical Methods>Stochastic models
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A Uniform Asymptotic Estimate for Discounted Aggregate Claims with Sub exponential Tails
distribution F on [0,∞) is subexponential, denoted by F ∈ S. That is to say, F (x) = 1− F (x) > 0 holds for all ... equivalently, for some) y 6= 0. Moreover, the class S covers the class ERV of distributions with extend ...- Authors: Xuemiao Hao, Application Administrator
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models
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Portfolio Optimization in Corporate Models
portfolio iliat best iiiatchcs or iiiiiiililiiZ('S a geii- erally slaiic set of liability cashflows ... ol)liinization prol)leins require limits or constraint, s. The insurance industry is very /lIliq(le, and / ...- Authors: William L Babcock, Steven Craighead
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Multivariate Stochastic Immunization Theory
m- 1, the collection of residuals: {ziij - ~t u N,},j = 1, 2, ... (1.3) is as small as possible ... If P(i)=S(i) denotes the price function of surplus or net worth, where S(i)=A(i)-L(i) and S(io)#0, the ...- Authors: Robert Reitano
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Non-Life Insurance Claim Incurral, Accrual, and Reporting Analysis
Non-Life ... ... A~,,i~t~,R~,,,~u ..... R~,~,~k.i-l) = 1 - exp{-#t,~,~i U(,,,i~ki}, where U~,,,)ki = A(,,~k~ +'" ... calculation of model 355 ',,.7- g co 3 o S@mple Cloim Development uO p.. ko cq 0 Accrued ...- Authors: James Robinson
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability>Health insurance; Modeling & Statistical Methods>Stochastic models
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Model Efficiency Study Results Report
Model Efficiency Study Results Report The Financial Reporting and Product Development Sections, ... study. With the help of twelve life insurance and annuity companies, the study tested six techniques for ...- Authors: Mark E Alberts, Mary J Bahna-Nolan, Susan Deakins, Trevor Howes
- Date: Nov 2011
- Competency: External Forces & Industry Knowledge
- Topics: Modeling & Statistical Methods>Stochastic models