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Six Bridges to Psi's
Six Bridges to Psi's Six methods are presented for calculating the probability of ultimate ... and codesigner. Josh Zirin, formerly of Kemper Group, assisted in implementing the VonMises algor i ...Description: Six methods are presented for calculating the probability of ultimate ruin where the waiting times between claims are independent and identically distributed. Three of the six use Monte Carlo techniques. From Actuarial Research Clearing House 1993, VOL. 1
Hide- Authors: William A Bailey
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Extreme Value Statistics, Resampling, and Insolvency Testing
Extreme Value Statistics, Resampling, and Insolvency Testing By the use of resampling and extreme value ... years, and he determined the mean duration of life of the last survivor. See [6]. All statistical ...Description: By the use of resampling and extreme value statistics we will develop a method to reduce the time and costs of testing insurance company insolvency. Most ruin models require assumptions about the surplus distribution and/or assumptions about the claims count and severity distributions. The actuary may not be comfortable in making these ruin assumptions. Instead, he or she may generate such distributions by running extensive computer simulations of corporate models, I introduce a method to reduce the number of simulations necessary' to estimate the 1 and 0.1 percentiles of the surplus distribution. This approach 'cuts off' the tail at approximately the tenth percentile of the sample distribution and generates new tails for the distribution by resampling. Averages of the new order statistics approximate the I and 0.1 percentiles.
Hide- Authors: Steven Craighead
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods