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Option Pricing Without Tears: Valuing Equity-Linked Death Benefits
Option Pricing Without Tears: Valuing Equity-Linked Death Benefits This presentation shows ... if the options or guarantees are exercisable only at the moment of death of the policyholder, the mathematics ...- Authors: Elias Shiu, Hans U Gerber, Hailiang Yang
- Date: Feb 2014
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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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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Multidimensional Whittaker-Henderson Graduation
Multidimensional Whittaker-Henderson Graduation Reports generally ... display tables of data broken down by many variables. This paper presents a variation of the Whittaker-Henderson ...- Authors: Gerald Lee Giesecke, Frank E Knorr, Jeffrey L Kunkel, Steven F McKay, Elias Shiu, William J Taylor
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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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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Actuarial Research Clearing House 1998 VOL. 2 A Reserve Difference Formula
Difference Formula This note is motivated by Section 7.4 of Actuarial Mathematics. Consider two different fully-discrete ... unit of life insurance during the first h years. Here, h is less than or equal to the shorter of the two ...- Authors: Elias Shiu, Changki Kim
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance>Reserves - Life Insurance
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Annuities with Negative Payment Frequency
Annuities with Negative Payment Frequency This paper is a proof of a conjecture that appeared in a letter ... proof of a conjecture that appeared in a letter to the Editor of The Actuary. From the Actuarial ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Technology & Applications>Analytics and informatics
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Option Pricing by Esscher Transforms
that the Esscher transform is also 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 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Total Return, Duration and Convexity
Duration and Convexity In writing this note on the relationship between total return, duration and convexity ... intent to produce a better understanding of Redington's theory of immunization. From Actuarial Research ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Integer Functions, UDDYA, and Annuity Coefficients
study note that supplements material contained in the book, 'Actuarial Mathematics,' 2nd edition ... and C.J. Nesbitt. The topics covered include integer functions, uniform distribution of deaths throughout ...- Authors: Elias Shiu, Serena Ee Ik Tiong
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Actuarial Research Clearing House 1998 VOL. 2 A Joint-Life and Reserve Problem
Actuarial Research Clearing House 1998 VOL. 2 A Joint-Life and Reserve Problem The following ... Joint-Life and Reserve Problem The following problem is from the 1968 Society of Actuaries Part 4 Examination ...- Authors: Elias Shiu, Khang-Yee Lim
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance