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Bayesian Reserving Models Inspired by Chain Ladder Methods and Implemented Using WinBUGS
Bayesian Reserving Models Inspired by Chain Ladder Methods and Implemented Using WinBUGS This paper examines some new Bayesian models for loss reserving inspired by a consideration of some of the ...- Authors: David Scollnik
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models
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Immunization Under Stochastic Models of the Term Structure
Immunization Under Stochastic Models of the Term Structure The purpose of this paper is to survey some new results concerning the term structure of interest rates and discuss actuarial ...- Authors: Phelim Boyle
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Investment policy; Modeling & Statistical Methods>Stochastic models
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The Bayesian Analysis of Generalized Poisson Models for Claim Frequency Data Utilising Markov Chain Monte Carlo Methods
The Bayesian Analysis of Generalized Poisson Models for Claim Frequency Data Utilising Markov Chain Monte Carlo Methods This paper considers the Bayesian analysis of the generalized Poisson ...- Authors: David Scollnik
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Markov Chain; Modeling & Statistical Methods>Stochastic models
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Manipulating Lagrangian Distributions and Associated Compound Distributions with Maple
Manipulating Lagrangian Distributions and Associated Compound Distributions with Maple Applications of Lagrangian distributions to modelling claim frequency data in an insurance portfolio is a ...- 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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Analyzing Accident Benefit Data Using Tweedie's Compound Poisson Model
Analyzing Accident Benefit Data Using Tweedie's Compound Poisson Model Following Jorgensen and Paes De Souza 1994, Tweedie's compound Poisson distribution is fitted to private ...- Authors: Mary Kelly, Bent Jorgenson
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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An Alternative Option Pricing Model
An Alternative Option Pricing Model A European call option pricing model similar to the Black-Scholes equation [1] is derived. Like the Black-Scholes equation, the model is based upon an ...- 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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Analysis of the Ruin Probabilty Using Laplace Transforms and Karamata Tauberian Theorem
Analysis of the Ruin Probabilty Using Laplace Transforms and Karamata Tauberian Theorem In this note, the asymptotic behavior of the probability of ruin is derived by means of infinitesimal ...- Authors: CORINA DANA CONSTANTINESCU, Enrique Thomann
- 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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Stochastic Trend Models in Casualty and Life Insurance
Stochastic Trend Models in Casualty and Life Insurance This paper discusses some of the models used to quantify risk, note some areas where improvements in standard methods are needed, and in ...- Authors: Spencer M Gluck, Gary G Venter
- Date: Apr 2009
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving
- Topics: Life Insurance; 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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A Life Contingency Approach for Physical Assets: Create Volatility to Create Value
A Life Contingency Approach for Physical Assets: Create Volatility to Create Value 2011 SOA Enterprise Risk Management Symposium, Chicago. This paper suggests the use of a policy event-based ...- Authors: Thomas Emil Wendling
- Date: Mar 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Stochastic models