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A New Collective Risk Model
A New Collective Risk Model In this paper, a mathematical model is constructed to study the deviations of claims, investment performance, operating expenses, and lapse expenses as random ...- Authors: John A Beekman, Ethan Stroh, Richard W Ziock
- Date: Oct 1973
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Stochastic models
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Optimal Retention Levels in Dynamic Reinsurance Markets
Optimal Retention Levels in Dynamic Reinsurance Markets This paper analyzes the optimal retention level with a portfolio of insurance risks, and premiums invested in risk-free and risky assets.- Authors: Enrico Biffis
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Stochastic models; Reinsurance>Coinsurance
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Multivariate Modeling of Asset Returns for Investment Guarantees Valuation
Multivariate Modeling of Asset Returns for Investment Guarantees Valuation Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers ...- Authors: Christian-Marc Panneton, Mathieu Boudreault
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
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An Alternative to Capital Allocation
An Alternative to Capital Allocation This paper illustrates a current approach to capital allocation, referred to herein as Tail Contribution Analysis TCA, using it to evaluate the impact of ...- Authors: TOM MATTHEW MCINTYRE, Dan Isaac
- Date: May 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Practice Forum
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Stochastic models
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Stochastic Analysis of Long-Term Multiple-Decrement Contracts
Stochastic Analysis of Long-Term Multiple-Decrement Contracts This paper introduces a rich stochastic modeling framework for understanding risks in multiple-decrement contracts. The example in ...- Authors: Chad R Runchey, MATTHEW F CLARK
- Date: Aug 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Practice Forum
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Stochastic models
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GPUs: How We Went From Zombie Blood Splatter To Financial Projections
GPUs: How We Went From Zombie Blood Splatter To Financial Projections GPUs are structured differently from CPUs in that they are designed to process many small programs or functions ...- Authors: Chris Stiefeling
- Date: Oct 2013
- Competency: Leadership>Thought leadership; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: CompAct
- Topics: Annuities>Variable annuities; Modeling & Statistical Methods>Stochastic models; Technology & Applications>Computer science; Technology & Applications>Software
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Capital and Hedge Modeling for Variable Annuities
Capital and Hedge Modeling for Variable Annuities Panelists discuss economic capital, capital modeling, and hedge modeling, especially for guaranteed living benefits [GLBs] on variable annuities.- Authors: Hubert B Mueller, Application Administrator, Ulrich Stengele
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital; 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 Abstract
Testing Deterministic versus Stochastic Trends in the Lee-Carter Mortality Indexes and Its Implications for Projecting Mortality Improvements at Advanced Ages Abstract In this paper, we ...- Authors: Wai Chan, Siu-Hang Li, SIU HUNG CHEUNG
- 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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Stochastic Modeling for Health Actuaries
Stochastic Modeling for Health Actuaries This session presents a summary of actuarial and potential uses of stochastic modeling for health actuaries. Three case studies are presented: rating ...- Authors: Charles S Fuhrer, Darrell Knapp, Doug Fearrington
- Date: May 2004
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Health & Disability>Health insurance; Modeling & Statistical Methods>Stochastic models
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Real-world interest rate models in a low interest rate environment
Real-world interest rate models in a low interest rate environment This article presents a case study that examines the implication of using real-world interest rate scenario generators with a ...- Authors: Marshall Lin, Jean-Philippe Larochelle, Francisco Orduna
- Date: Dec 2015
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: The Modeling Platform
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models