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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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Non-exponential Bounds on the Tails of Compound Distributions
Pr (X=n)=p~, n = 0 ,1 ,2 , . . . . (1) Let S = X 1 + X 2 -1- . . . + X N (2) We are interested ... in estimating the tail probability (~,(x) = Pr (S > x), x > O, 3) which has applications in many ...- Authors: Gordon E Willmot, Xiaodong Sheldon Lin
- 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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A Stochastic Model for CCRCs
feasibility studies; • provide appropriate rates of mortality, morbidity, or life expectancy for the commu- ... commu- nity's use; and * perform mortality, morbidity, and withdrawal experience studies. These and other ...- Authors: Bruce Jones
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Retirement risks; Pensions & Retirement>Risk management
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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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Manipulating Lagrangian Distributions and Associated Compound Distributions with Maple
associated compound distributions with Maple Rohana S. Ambagaspit iya Department of Mathematics and Statistics ... interested. 358 2.1 Po isson Lagrang ian d i s t r ibut ions These distributions are derived by ...- 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
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Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australian Data
URL ht tp : / /www.ocs .mq.edu .au / -msher r i s /pubs .h tml Acknowledgment: The authors would ... level as interest rates rose during the 1970's and 1980's. Models of interest rates that incorporate mean-reversion ...- Authors: Michael Sherris, Ben Zehnwirth, Leanna Tedesco
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Premium Calculations by Transformed Distributions
For a class 7~ of all risks, a premium principle u is a mapping 7r : T~ ---~ R, which means that ... The zero util ity principle : Definit ion 7 Let u(.) be a utility function. The 7r(X, f ) calculated ...- 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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Estimating Long-Term Returns in Stochastic Interest Rate Models
all increasing family of sub-sigma-algebras of S. At some future time T, T > 0 , the long-term return ... Proof First we define S(t, r) and u(t,r) as [ s(t , r) = r(~)d~ u(t, r) = E r IS] According ...- Authors: Lijia Guo, Zenghui Huang
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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A Numerical Method for Computing the Probability Distribution of Total Risk of Portfolio
A Numerical Method for Computing the Probability Distribution of Total Risk of Portfolio ... method of computing the probability distribution of S. Inversion of the Laplace transform moment generating ...- Authors: Rohan J Dalpatadu, Andy Tsang, Ashok K Singh
- 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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The Mollification Analysis of Stochastic Volatility
described by a stochastic process: dS = #(S, t)dt + a(S, t)dW where W is a standard Brownian Motion ... and a is the instantaneous standard deviation of S which specifies its volatility. This paper presented ...- Authors: Lijia Guo
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models