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Actuarial Approach to Option Pricing
Approach to Option Pricing In this paper we study the pricing of financial options and contingent claims. We ... time-honored concepts in actuarial science - the Esscher transform and the adjustment coefficient - are efficient ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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Variance of Whole Life Discounted Benefit Random Variable vT Under De Moivre's Law
Variance of Whole Life Discounted Benefit Random Variable vT Under De Moivre's Law This is a simplified ... simplified approach to calculating the variance of the whole life random variable in certain, very common ...- Authors: John A Mereu
- 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; Life Insurance>Whole life
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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 Data ... Cox's proportional Hazards model. We assume that the data available are already grouped and develop a ...- 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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Interval Estimates for Risk Loads for Insurers
Estimates for Risk Loads for Insurers In Volume LXXV of the Proceedings there appeared a paper entitled Risk ... intervals for the betas in TABLE 4 [Profit Margins and Their Standard Deviations by Line of Business] of this ...- Authors: William E Bailey
- Date: Jan 1995
- 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
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Some Remarks in Statistical Independence and Fractional Age Assumptions
respect to the statistical independence of the curtate future lifetime and the fractional part of the future ... future lifetime, both of a general status. In particular, the conditions for independence need to be stated ...- Authors: Gordon E Willmot
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Demography>Longevity; Finance & Investments>Risk measurement - Finance & Investments
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Manipulating Lagrangian Distributions and Associated Compound Distributions with Maple
Associated Compound Distributions with Maple Applications of Lagrangian distributions to modelling claim frequency ... relatively new concept. The major difficulty is that the generating functions of these distributions cannot ...- 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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An Optimal Model for Asset Liability Management
Asset Liability Management This paper addresses the stochastic modeling for managing asset liability ... evaluating of the liabilities of the insurance company in general. We then formulate the ALM process ...- Authors: Lijia Guo
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Stochastic models
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Non-Parameteric Estimation for Joint Survival Distribution Using Interval-Censoring Technique
and then uses the interval censoring technique to estimate the probability of failure of a Joint-life ... that the life annuities of joint-life status calculated assuming independence overestimates the ones ...- Authors: Robert Brown, Lijia Guo, Yibing Wang
- Date: Jan 1995
- 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
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Risk and Insurance Student Instruction of DEFRA's Life Expectancy for Installment-Type Distributions Eased by Using LOTUS 1-2-3
Risk and Insurance Student Instruction of DEFRA's Life Expectancy for Installment-Type Distributions ... Distributions Eased by Using LOTUS 1-2-3 The study of Employee Benefits has always been aided by using financial ...- Authors: Will R Bagwell
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Professional development; Pensions & Retirement>Risk management; Technology & Applications>Analytics and informatics
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Surplus Dependent Risk Models
Surplus Dependent Risk Models The main objective of this study is to analyze and control a surplus dependent ... We focus here mostly on the diffusion approximation of the risk process. The results are derived in two ...- 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