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Divided Differences by Contour Integration
become trivial. The example considered in [3] is ,.s ill f(z) x,x,x,y,y, which simplifies to i -}y ... l7Jl: where ~n f(x 0> tn-1 .. J dtnf(n)(u), 0 u = (1-tl)xo + (tl-t2)xl + •• + (tn-1-tn)xn-l + ...- Authors: Elias Shiu
- Date: Jan 1983
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Estimation methods
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Immunizing Stochastic Cash Flows
Immunizing Stochastic Cash Flows This paper reviews Redington's theory of immunization ... Stochastic Cash Flows This paper reviews Redington's theory of immunization and sketches how it may be ...- Authors: Elias Shiu
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management
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Evaluation of the Rollover Option
an n-year GIC or zero-coupon bond be denoted as S o. Assume that the customer's old GIC will mature ... n-year GIC or zero-coupon bond at time t be denoted by S t, which is a random variable as viewed from time ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investments
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Actuarial Research Clearing House 1998 VOL. 2 A Joint-Life and Reserve Problem
JOINT-LIFE AND RESERVE PROBLEM Khang-Yee Lim and Elias S. W. Shiu Department of Statistics and Actuarial Science ... and (y) are independent lives, we have ]0 f0 ~5~ u = vttpx tV(Ax) dtqy -t- vttPy tV(Ay) dtqx. Because ...- Authors: Elias Shiu, Khang-Yee Lim
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance
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Financial Accounting Standards No. 87: Recursion Formulas and Other Related Matters
for determining this rate include: a current annuity buyout rate, current Pension Benefit Guaranty ... ultimate turnover from (or to) a static turnover table can have a significant effect on the amortization ...- Authors: Barnet N Berin, Eric Lofgren, Elias Shiu
- Date: Oct 1987
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Pensions & Retirement>Pension accounting
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Cash-Flow Matching and Linear Programming Duality
equality r=s is equivalent to the pair of simultaneous inequalities: r<_s and - r< -s . Each real ... (See also Section II of [20].) Since the vector u= [(1 +il) -1, (1 +i2) -2 . . . . ]r satisfies the ...- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management
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How Fast Is Mexico Increasing?
How ... years of age, and we can suppose that in its life table the fraction under 25 is 35 percent, the mean ... 5 c-~ l(x)dx 0.6- 0 T e 'rx l(x) dx 0 25 S l(x) dx 0,35 - o _ 25L_...~0 ~l(x) dx '~L0 ' ...- Authors: Elias Shiu, JINXIA MA
- Date: Jan 1991
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Demography>Population data
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Binomial Lattice for the Cox, Ingersoll and Ross Spot Rate Process
.... (2) Consider the up and down functions: u(x) = ~, + (1-~)x + pqx, x -> 0, (3) and d(x) = ... (4) 201 Formula (2) means that r(n + 1) = u(r(n)) or r(n + 1) = d(r(n)). (For simplicity, we assume ...- Authors: Elias Shiu, ZHAOBI HA
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Multivariate Duration Analysis
the upper limit of integration with s, say, then substituting s = 1 into the second-order Taylor expansion ... 0 0--N DN(io) = D~(io) - C~io), (4.6) 0 O-~s Dk(io) = Os(io) Dk(io) - Csk(io), (4.7) a O(io) ...- Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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On a Formula of Nesbitt
On a Formula ... 1 On a Formula of Nesbitt Elias S. W. Shiu Department of Statistics and Actuarial Science The University ... Nesbitt gave the formula 1 a nh|0 t dh = ln s n|s nt| , 0 t < n. (1) Variants ...- Authors: Elias Shiu
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Actuarial Profession>Professional development; Finance & Investments>Risk measurement - Finance & Investments