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Model Uncertainty and Selection in Operational Risk Modeling
Model Uncertainty and Selection in Operational Risk Modeling This abstract describes a paper that investigates model uncertainty arising from different ways of treating the operational loss data ...- Authors: Daoping Yu, Vytaras Brazauskas
- Date: Apr 2018
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Operational risks; Modeling & Statistical Methods
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Actuarial Applications of Word Embedding Models
Actuarial Applications of Word Embedding Models 3/13/2019 12:00:00 AM ...- Authors: Gee Lee
- Date: Mar 2019
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Regression analysis
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Quasi-Monte Carlo Methods in Numerical Finance
Quasi-Monte Carlo Methods in Numerical Finance This is the abstract of the paper Quasi-Monte Carlo Methods in Numerical Finance. This paper introduces and illustrates a new version of the Monte ...- Authors: Ken Seng Tan
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Simulation
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Currency Risk Models in Insurance: A Mathematical Perspective
Currency Risk Models in Insurance: A Mathematical Perspective This is the abstract of a paper that considers a general two-country model of exchange rate dynamics in which interest rates are ...- Authors: Samuel Cox, Hal Warren Pedersen
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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A Nonparametric Test for Comparing the Riskiness of Portfolios
A Nonparametric Test for Comparing the Riskiness of Portfolios This paper discusses a natural and convenient statistic, the nested L-statistic, investigates its performance using a simulation ...- Authors: Vytaras Brazauskas
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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A Risk Model when Premium Rate Depends on Claim Size
A Risk Model when Premium Rate Depends on Claim Size This paper considers a dependent classical risk model with diffusion, in which the premium rate is determined by the amount of the previous ...- Authors: Jun Cai, Ming Zhou
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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General Insurance Claims Modelling with Factor Collapsing an
General Insurance Claims Modelling with Factor Collapsing an This abstract describes a paper that assesses the optimal manner to collapse a factor with many levels into one with a smaller number ...- Authors: Sen Hu, Adrian O'Hagan, Brendan Murphy
- Date: Apr 2018
- Competency: External Forces & Industry Knowledge
- Topics: Modeling & Statistical Methods>Bayesian methods
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Credibility and Persistency
Credibility and Persistency This abstract introduces the paper which uses credibility theory to analyze policyholder persistency. It is assumed that persistency depends on the difference between ...- Authors: Virginia Ruth Young
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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A Model for Analyzing the Impact of Selective Lapsation on Mortality
A Model for Analyzing the Impact of Selective Lapsation on Mortality This is the abstract of a paper that presents a model for examining the effect of various relationships between mortality ...- Authors: Bruce Jones
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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A Family of Fractional Age Assumptions
A Family of Fractional Age Assumptions This is an abstract of a 1998 presentation from the 33rd Annual Actuarial Research Conference that introduces a family of fractional age assumptions and ...- Authors: Bruce Jones
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods