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Evaluation of Ruin Probabilities
Evaluation of Ruin Probabilities This research paper presents two series formulas for the probability of eventual ruin derived by the operational calculus method. From the Actuarial Research ...- Authors: Elias Shiu
- Date: Jan 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Elias Shiu, Aaron Tenenbein, Heekyung Youn
Elias Shiu, Aaron Tenenbein, Heekyung Youn This abstract describes a presentation that provides an opportunity for MLC teachers to discuss various issues arising from the new MLC examination ...- Authors: Elias Shiu, Aaron Tenenbein, Heekyung Youn
- Date: Dec 2012
- Competency: Professional Values
- Topics: Actuarial Profession
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Option Pricing by Esscher Transforms
Option Pricing by Esscher Transforms This paper shows that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Multivariate Duration Analysis
Multivariate Duration Analysis In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. A ...- Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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DUALITY BETWEEN UNIFORM DEATHS AND BALDUCCI ASSUMPTIONS
DUALITY BETWEEN UNIFORM DEATHS AND BALDUCCI ASSUMPTIONS This paper on the duality between uniform deaths and Balducci assumptions was motivated by earlier referenced works in which exposure ...- Authors: Elias Shiu
- Date: Jan 1980
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Immunizing Stochastic Cash Flows
Immunizing Stochastic Cash Flows This paper reviews Redington's theory of immunization and sketches how it may be extended to the general case of stochastic flows by means of modern ...- Authors: Elias Shiu
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management
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Option Pricing Without Tears: Valuing Equity-Linked Death Benefits
Option Pricing Without Tears: Valuing Equity-Linked Death Benefits This abstract describes a presentation that shows that, if the options or guarantees are exercisable only at the moment of death ...- Authors: Elias Shiu, Hailiang Yang, Hans U Gerber
- Date: Feb 2014
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Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Applications
Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Applications This paper presents a unifying non-Bayesian statistical method for ...- Authors: Bradley P Carlin, Beda Chan, Thomas Herzog, William L Roach, Elias Shiu, Patrick L Brockett, Josh Babier, Wojciech Szatzschneider, E S Rosenbloom
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession; Modeling & Statistical Methods
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Some Remarks on Demography
Some Remarks on Demography This paper restates formulae from three textbooks for the Society of Actuaries Course 161 examination which do not use the same set of notation into a common notation.- Authors: John A Beekman, Elias Shiu
- Date: Jan 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Demography
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Arbitrage-Free Pricing of Interest-Rate Contingent Claims
Arbitrage-Free Pricing of Interest-Rate Contingent Claims This paper discusses the pricing of bond options and interest-sensitive cash flows by discrete state/time models such as binomial ...- Authors: Elias Shiu, Application Administrator, Hal Warren Pedersen
- Date: Oct 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value