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Premium Calculations by Transformed Distributions
Distributions The concept of transformed distributions is generalized in this paper. First the concepts of net ... are identified with premium intensity and hence the loaded premium is calculated from transformed distributions ...- Authors: Abdul Sharif
- 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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Testing Deterministic versus Stochastic Trends in the Lee-Carter Mortality Indexes and Its Implications for Projecting Mortality Improvements at Advanced Ages
Testing Deterministic versus Stochastic Trends in the Lee-Carter Mortality Indexes and Its Implications ... Advanced Ages In this paper, we investigate the dynamics of the Lee-Carter mortality index parameter kt.- Authors: Wai Chan, Siu-Hang Li, SIU HUNG CHEUNG
- Date: Jan 2008
- Topics: Experience Studies & Data>Mortality; Global Perspectives; Modeling & Statistical Methods>Deterministic models; Modeling & Statistical Methods>Stochastic models
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An Alternative Option Pricing Model
similar to the Black-Scholes equation [1] is derived. Like the Black-Scholes equation, the model is based ... based upon an assumption of a lognormal distribution of the price of a risky, non-dividend-paying security ...- Authors: Joseph D Marsden
- 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>Stochastic models
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Inflated-Parameter Family of Generalized Power Series Distributions And Their Application In Analysis Of Overdispersed Insurance Data
Inflated-Parameter Family of Generalized Power Series Distributions And Their Application In Analysis Of Overdispersed ... Data During the last decade, a vast activity had been observed in generalizing of the classical discrete ...- Authors: Nikolai Kolev, Leda Minkova, Plamen Neytchev
- Date: Jan 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Professional development; Modeling & Statistical Methods>Stochastic models
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Credibility Using Copulas
encounter data from a cross-section of risk classes towns with a history of insurance claims available for ... class. For the marginal claims distributions, we use generalized linear models, an extension of linear regression ...- Authors: Edward Frees, PING WANG
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models
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Stochastic Pricing for Embedded Options in Life Insurance and Annuity Products
Life Insurance and Annuity Products The research investigates the challenges associated with determining ... embedded options in two product types and incorporates the process into product pricing and liability valuation ...- Authors: Society of Actuaries, Timothy Hill, Dale Visser, Ricardo Trachtman
- Date: Oct 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
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Guaranteed Benefits in Incomplete Markets and Risk Analysis
paper presents a methodology of pricing the guaranteed minimum death benefit of a variable annuity in a market ... developments in the stock market make variable annuities very attractive products from the insured point of view ...- Authors: George N Argesanu
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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An Optimal Model for Asset Liability Management
Asset Liability Management This paper addresses the stochastic modeling for managing asset liability ... evaluating of the liabilities of the insurance company in general. We then formulate the ALM process ...- Authors: Lijia Guo
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Stochastic models
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Projection and Statistical Modeling of Mortality at Late Age Q&A
and Statistical Modeling of Mortality at Late Age Q&A Transcript of the Q&A period from Session ... Session 6A: Projection and Statistical Modeling of Mortality at Late Age Mortality assumption;Mortality ...- Authors: Society of Actuaries
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Experience Studies & Data>Mortality; Global Perspectives; Modeling & Statistical Methods>Deterministic models; Modeling & Statistical Methods>Stochastic models
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Manipulating Lagrangian Distributions and Associated Compound Distributions with Maple
Associated Compound Distributions with Maple Applications of Lagrangian distributions to modelling claim frequency ... relatively new concept. The major difficulty is that the generating functions of these distributions cannot ...- Authors: Rohana Ambagaspitiya
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Modeling & Statistical Methods>Stochastic models