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Option Pricing by Esscher Transforms
shows that the Esscher transform is an efficient technique for valuing derivative securities if the logarithms ... logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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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 ... lattices. Current binomial models are faulty because the put-call parity relationship may not hold for all ...- 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
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Cash-Flow Matching and Linear Programming Duality
Cash-Flow Matching and Linear Programming Duality This paper ... applies the duality theory of linear programming to provide insights for generalizing and solving the cash-flow ...- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management
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Multivariate Immunization Theory
Immunization Theory This paper discusses extending the general nonparallel shift approach to duration analysis ... and explores the immunization model within the multivariate context. A discussion of the paper follows ...- Authors: Robert Reitano, Elias Shiu
- 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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Immunizing Stochastic Cash Flows
Redington's theory of immunization and sketches how it may be extended to the general case of stochastic flows ... flows by means of modern option-pricing theory. From the Actuarial Research Clearing House 1992 ...- 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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On Optimal Dividends: From Reflection to Refraction
calculations for the optimal dividend strategy that maximizes the expectation of the discounted dividends ... dividends until the possible ruin of a company. Dividends;Risk theory; 14373 1/1/2005 12:00:00 AM ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Some Remarks on Demography
textbooks for the Society of Actuaries Course 161 examination which do not use the same set of notation into ... From the Actuarial Research Clearing House 1989, Vol. 2. From the Actuarial Research ...- 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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Select and Ultimate Models in Multiple Decrement History
Usual treatments of multiple-decrement theory are on a nonselect basis, with all rates of decrement depending ... paper develops the theory on a select basis, carried out fully in the stochastic framework. The relationship ...- Authors: S. Promislow, Elias Shiu
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession>Competencies
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Minimum-Rz Moving-Weighted-Average Formulas
Moving-Weighted-Average Formulas In this paper, the coefficients of the minimum-Rz moving-weighted-average formulas ... formulas are derived using matrix algebra and the method of Lagrange multipliers. Reviewer's ...- Authors: Elias Shiu
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Experience Studies & Data; Modeling & Statistical Methods
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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 ... if the options or guarantees are exercisable only at the moment of death of the policyholder, the mathematics ...- Authors: Elias Shiu, Hailiang Yang, Hans U Gerber
- Date: Feb 2014