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Option Pricing With Stochastic Volatility: Applying Parseval's Theorem
Option Pricing With Stochastic Volatility: Applying Parseval's Theorem This is the ... Applying Parseval's Theorem This is the abstract for the presentation on option pricing with stochastic ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2010
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An approach to valuing guaranteed minimum income benefit riders
riders Claymore Marshall and David Saunder University of Waterloo Abstract: This research considers an ... available in the U.S. market. A GMIB is a rider offered on a variable annuity that guarantees the policyholder ...- Authors: Siu-Hang Li, David Saunder
- Date: Nov 2008
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Re-fitting Phase-Type Mortality Model
Re-fitting ... Bartley, Xin Huang, Xiaoming Liu University of Western Ontario, Canada; xliu@stats.uwo.ca ... to model human mortality. Under this model, the time of death follows a phase-type (PH) distribution ...- Authors: Matt Bartley, Xin Huang
- Date: Feb 2014
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Climate Change (Actuaries Climate Index)
presentation will give an overview of the Actuaries Climate Index (ACI) and the Actuaries Climate Risk Index ... Index (ACRI). I will illustrate the ACI/ACRI and show how changing climate risks affect drought and crop ...- Date: Mar 2019
- Publication Name: Actuarial Research Clearing House
- Topics: Environment>Frequency / severity of extreme event
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Portfolio Choice with Life Annuities under Probability Distortion
Portfolio Choice with Life Annuities under Probability Distortion This abstract describes ... Distortion This abstract describes work that revisits the optimal portfolio model in a financial market with ...- Authors: Wenyuan Zheng, James Bridgeman
- Date: Feb 2014
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Regime-Switching Portfolio Replication
Regime-Switching Portfolio Replication This is the abstract on the paper on regime-switching portfolio replication ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Jul 2010
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On Two Methods Based on Martingales and Simulation to Compute Infinite-Time Ruin Probabilities
paper that presents two methods for calculating the exact ruin probability on an infinite time horizon ... model containing dependence between the interclaim time and the subsequent claim amount. 6442453301 ...- Authors: Hélène Cossette, Etienne Larrivée-Hardy, Etienne Marceau, Julien Trufin
- Date: Feb 2014
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Mortality improvement: an actuarial perspective
Mortality improvement: an actuarial perspective This ... abstract describes a paper that studies the relation between the two basic random events associated with ...- Authors: José Garrido, Ana Debón
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Demography>Mortality - Demography; Modeling & Statistical Methods>Forecasting
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Enterprise Risk Management and Diversification Effects for Property and Casualty Insurance Companies - Abstract
risk management (ERM) program, the firm integrates risk management into the strategic planning process, ... casualty (P&C) insurers, which face a diverse set of risks. In contrast to previous studies that document ...- Authors: Jing Ai, Vickie Bajtelsmit, Tianyang Wang
- Date: Mar 2015
- Competency: External Forces & Industry Knowledge; Professional Values; Strategic Insight and Integration
- Topics: Enterprise Risk Management
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Integrating Real Estate and Infrastructure Assets In ERM - Abstract
Copyright 2015 by the Society of Actuaries, Casualty Actuarial Society, and the Professional Risk ... rights reserved by the Society of Actuaries, Casualty Actuarial Society, and the Professional Risk ...- Authors: Emilian Nikolaev Belev, Dan diBartolomeo, Richard Gold
- Date: Mar 2015