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Efficient Algorithm for High-Dimensional Simulation
Efficient Algorithm for High-Dimensional Simulation This is the abstract of a paper that deals with a recent modification of the Monte Carlo method known as quasi random Monte Carlo. Under this ...- Authors: Ken Seng Tan
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Deterministic models
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Estimators of the Regression Parameters of the Zeta Distribution
Estimators of the Regression Parameters of the Zeta Distribution The zeta distribution with regression parameters has been rarely used in statistics because of the difficulty of estimating the ...- Authors: Louis G Doray
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Catastrophe Risk Bonds
Catastrophe Risk Bonds This paper examines the pricing of catastrophe risk bonds. Catastrophe risk cannot be hedged by traditional securities. Therefore the pricing of catastrophe risk bonds ...- Authors: Samuel Cox, Hal Warren Pedersen
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Understanding Relationships Using Copulas
Understanding Relationships Using Copulas This paper introduces actuaries to the concept of 'copulas,' a tool for understanding relationships among multivariate outcomes. A copula ...- Authors: Edward Frees, Emiliano Valdez
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Sequential Credibility Evaluation via Stochastic Approximation
Sequential Credibility Evaluation via Stochastic Approximation Stochastic approximation is a powerful tool for sequential estimation of zero points of a function. In this paper, this methodology ...- Authors: Udi E Makov, Zinoviy Landsman
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Efficient Estimation of Ultimate Ruin Probability
Efficient Estimation of Ultimate Ruin Probability This paper presents an unbiased, consistent and asymptotically efficient estimator based on importance sampling variance reduction technique in ...- Authors: Miguel Usabel
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Estimation methods
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Portfolio Optimization in Corporate Models
Portfolio Optimization in Corporate Models Design and future maintenance of an asset portfolio backing a new line of business is critical for proper asset and liability management for that ...- Authors: William L Babcock, Steven Craighead
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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A Bayesian Approach in Calculating Community Mortality Rates
A Bayesian Approach in Calculating Community Mortality Rates Mortality rates for a local community are desired in conjunction with the calculation of health-adjusted life expectancy HALE, an ...- Authors: Marjorie Rosenberg, Dennis G Fryback
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Pricing Perpetual Fund Protection With Withdrawal Option
Pricing Perpetual Fund Protection With Withdrawal Option Equity-indexed annuities [EIAs] can be viewed as mutual funds wrapped around with various guarantees. A recent paper derived a closed form ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Between the Individual and Collective Models, Revisited
Between the Individual and Collective Models, Revisited In this paper the author shows that the aggregate claims distribution of a portfolio modeled by a mix of the individual and collective ...- Authors: Francois Dufresne
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods; Pensions & Retirement>Funding