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Optimal Ruin Calculations Using Partial Stochastic Information
at time t is defined to be U(t) = u + ct - S(t), t>-O. Here U(0) = u is the initial surplus, c is ... fund in dollars per year, and S is the stochastic claims process: S(t) = X l + . . . + Xu(o, where ...- Authors: Samuel Cox, Patrick L Brockett
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Stochastic models
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Bounds on Expected Values of Insurance Payments and Option Prices
Bounds ... = inf[ I h(x) dFIx) : F ~ M(y) ] and i b U(h y) = sup{ h(x) dF(x) : F c ~l,(y) } where y denotes ... The best uigper bound for h(x) = min{x, d} is U(h I y) = q 0-2 d for O~dSkt -b_ ~ ~t(b + d) ...- Authors: Samuel Cox
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance
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Procedure for Simulation with Constructed Copulas
2-dimensional copula is a distribution function C(u, v) on I× I with standard uniform marginal distributions ... properties: (i) For all x, y ∈ I, C(u, 0) = 0 = C(0, v) and C(u, 1) = u and C(1, v) = v. (ii) For u1, u2 ...- Authors: Donald Behan, Samuel Cox
- Date: May 2007
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Actuarial Usage of Grouped Data: An Approach to Incorporating Secondary Data
Actuarial Usage of Grouped Data: An Approach to Incorporating Secondary Data This paper ... Transactions of Society of Actuaries 1995, Vol. 47. Mortality modeling;Data quality; 2764 10/1/1995 12:00:00 ...- Authors: Samuel Cox, Patrick L Brockett, Yun Song, Boaz Golany, Fred Y Phillips
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Experience Studies & Data; Modeling & Statistical Methods
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Bounds for Ruin Probabilities and Value at Risk
problem. For the stop-loss bound problem, Cox (1991)’s method is also investigated to confirm our SOS program ... amounting $40.2 billion (Yu and Lin, 2007). As for mortality risks, a recent example of unanticipated catastrophe ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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An Option-Based Operational Risk Management on Pandemics
under the attack of an influenza pandemic. Let ( )S t be the fraction of employees that has an infectious ... disease at time t . It is obvious that ( ) [0,1]S t ∈ , where 0S = denotes nobody is infected in the ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Operational risks
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Actuarial Education/Training in Other Countries
Actuarial Education/Training in Other Countries 1993 SOA Annual Meeting, New York. This session ... York. This session discussed the panelist's approach to actuarial education and training in other ...- Authors: Samuel Cox, Curtis E Huntington, John Shepard, Oliva Sanchez Garcia
- Date: Oct 1993
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Actuarial Profession; Global Perspectives
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Portfolio Risk Management with CVAR-Like Constraints
Portfolio Risk Management with CVAR-Like Constraints In his original monograph on portfolio ... issue, this paper extends Krokhmal et al. [2002]’s approach by adding CVaR-like constraints to the traditional ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Portfolio management - ERM
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Catastrophe Risk Bonds
catastrophe occurs} ~- {u, +} {interest rate goes up, no catastrophe occurs} = {u, -} (13) {interest ... such as is shown in figure 3. Figure 3 ~ {u, +} {u, -} {a,+} {a, -} Tile values at time 1 of the ...- Authors: Samuel Cox, Hal Warren Pedersen
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 1: Bounds on the Price of Catastrophe Insurance Options on Futures Contracts
present one way to allow for lack of information. Let S(t) denote the aggregate losses paid during the interval ... t]. The loss ratio on the set- tlement date T is S(T)/Q where Q is an estimate of the premiums written ...- Authors: Samuel Cox, Patrick L Brockett, James Smith
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Reinsurance