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Minimum Quadratic Distance Estimation for the Proportional Hazards Regression Model with Group Data
Minimum Quadratic Distance Estimation for the Proportional Hazards Regression Model with Group ... study a survival regression model known as Cox's proportional Hazards model. We assume that the data ...- Authors: Jacques Rioux, ANDREW LUONG
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Experience Studies & Data>Mortality; Modeling & Statistical Methods>Estimation methods; Modeling & Statistical Methods>Regression analysis
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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 ... future. However, unlike Black-Scholes, the market's risk preference is recognized through a parameter ...- 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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Surplus Dependent Risk Models
corresponding piecewise deterministic Markov process S(t) with infinitesimal generator, fo°°[f(x y) f(x)lP(dy)] ... probability of ruin is the same for the process S(t) and U(t), the latter being the classical compound ...- Authors: José Garrido, Wojciech Szatzschneider
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments
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A General Model For Life Contingencies
A GENERAL MODEL FOR LIFE CONTINGENCIES Hans U. Gerber 1. Formulation of the Model and Net Reserves ... time t • It is easy to show that and that Let s < t • From the recursive formula for reserves it ...- Authors: Hans U Gerber
- Date: Jan 1978
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments
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Conclusions From Michigan Studies of Social Security Financing
emerging future. OASDI is the largest insurance and annuity organization in the world. In 1994, outgo for ... excess of $58.1 billion which added to the Trust Fund(s). The actuarial profession and the public arc awakening ...- Authors: Cecil J Nesbitt, Alexa L Nerdrum, SARAH ELIZABETH CLARK
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Economics>Financial economics; Social Insurance>Social Security
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Non-exponential Bounds on the Tails of Compound Distributions
Pr (X=n)=p~, n = 0 ,1 ,2 , . . . . (1) Let S = X 1 + X 2 -1- . . . + X N (2) We are interested ... in estimating the tail probability (~,(x) = Pr (S > x), x > O, 3) which has applications in many ...- Authors: Gordon E Willmot, Xiaodong Sheldon Lin
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Should the Definition of Compound Interest Be Modified? - Actuarial Note
Should ... per quarter that Is equivalent to i~ = 6~. Then U Accumulating $I000 for 15 years 3 months at rate ... actuar ia l l y speak ing) which would f i t any s i tuat ion . Th is las t 84 approach has ...- Authors: Pierre Chouinard
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Professional development; Economics>Financial economics
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Manipulating Lagrangian Distributions and Associated Compound Distributions with Maple
associated compound distributions with Maple Rohana S. Ambagaspit iya Department of Mathematics and Statistics ... interested. 358 2.1 Po isson Lagrang ian d i s t r ibut ions These distributions are derived by ...- 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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A Numerical Method for Computing the Probability Distribution of Total Risk of Portfolio
A Numerical Method for Computing the Probability Distribution of Total Risk of Portfolio ... method of computing the probability distribution of S. Inversion of the Laplace transform moment generating ...- Authors: Rohan J Dalpatadu, Andy Tsang, Ashok K Singh
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Premium Calculations by Transformed Distributions
For a class 7~ of all risks, a premium principle u is a mapping 7r : T~ ---~ R, which means that ... The zero util ity principle : Definit ion 7 Let u(.) be a utility function. The 7r(X, f ) calculated ...- Authors: Abdul Sharif
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models