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Abstract from 2017 Living to 100 International Symposium
Science, University of Waterloo, Canada Johnny S.-H. Li Department of Statistics and Actuarial Science ... Investors Know About? Kenneth Q. Zhou and Johnny S.-H. Li Department of Statistics and Actuarial Science ...- Authors: Kenneth Zhou, Siu-Hang Li
- Date: Jul 2017
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Demography>Longevity; Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Risk management
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Are Your Scenarios on Target?
basis for the scenarios, the assumed distribution(s) for parametric approaches or statisti- cal sampling ... Black-Scholes option implied volatility (Heston and Nandi 2000). If even more realism is required, i.e., combining ...- Authors: Application Administrator
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Credibility Using Copulas
⎜⎜⎝ ⎛ +−= ),S(bexp),p( φφ it ititit itit y θθy θy . Here, the functions b(.) and S(.,.) are chosen ... explanatory variables. 3.1 Descriptive statistics Table 1 displays the descriptive statistics for average ...- Authors: Edward Frees, PING WANG
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models
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Implementing the Longstaff-Schwartz Model
credibility is about 10^s (within perhaps one half an order of magnitude) and s is dimensionality, we see ... interpolation of estimated bond prices. H = UΛU’ where, U:= matrix of eigenvectors, the first four principal ...- Authors: L SS
- Date: Oct 2002
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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How to Prevent the Big Mistake
of those entities that possess guaranteed mortality death bene- fit (GMDB) risk have been well documented; ... regulatory require- ment. It can be argued that the U.S. indus- try’s troubles with GMDB started with enterprising ...- Authors: Edward Betteto
- Date: Mar 2003
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Big picture view; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Reinsurance News
- Topics: Enterprise Risk Management; Finance & Investments>Asset liability management; Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
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Multivariate Dependence Modeling Using Pair-Copulas
Kendall’s τ is given by τ(X,Y) = 4 ∫∫ [0,1]2 C(u, v) dC(u, v) − 1. (6) Theorem 4. Let X and Y be continuous ... man’s ρs is given by ρs(X,Y) = 12 ∫∫ [0,1]2 uv dC(u, v) − 3. (7) 4. The Pair-Copula Construction The ...- Authors: Doris Y Schirmacher, Ernesto Schirmacher
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Actuarial Profession>Professional development; Enterprise Risk Management>Financial management; Modeling & Statistical Methods>Stochastic models
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The Use of Analytical-Statistical Simulation Approach in Operational Risk Analysis
The Use ... P A Y Y P A Y Y F X ds Y Y n k k n k k k k k k s T X Z kk { ,..., } { ,..., } ( , ; ,..., ) ζ ... we can write P A Y Y F X ds Y Yn n n n n n n s T X Z nn { ,..., } ( , ; ,..., )ζ ζ0 0 1 1 0 1 ...- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Operational risks; Modeling & Statistical Methods>Stochastic models
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A Loss Reserving Model within the framework of Generalized Linear Models
Example 2.1 GLMs commonly used in insurance data Table 1 below gives the different model components of ... m my ) Link g identity reciprocal log logit Table 1: GLM Examples Additional examples include inverse ...- Authors: José Garrido, JUN ZHOU
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods; Modeling & Statistical Methods>Stochastic models
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Biased Sampling: Solution for Lower Incidence Rate
impurity. ΔI(s,t)=I(t)- prI(tl) - prI(tr) Choice of split: ΔI(s*,t)=maxs∈S ΔI(s,t) The CART ... CART algorithm first defines a candidate set of S that would be comprised of all potential binary splits ...- Authors: M Muthu Mangai
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Operational risks; Modeling & Statistical Methods>Stochastic models
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The Distribution of Discounted Compound Renewal Sums
Model (1957) for an aggregate claim is given by: S(t) = N(t)∑ k=1 Xk , t ≥ 0 , (1) where N(t) is a ... Model (1957) for an aggregate claim is given by: S(t) = N(t)∑ k=1 Xk , t ≥ 0 , (1) where N(t) is a ...- Authors: José Garrido, GHISLAIN LEVEILLE, Ya Fang Wang
- Date: Nov 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models