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A Geometric Approach to Exact Solutions in Finance and Actuarial Science
Finance 1 a) State variables u du ,.o.,U n evolve according to = ~(t, u J )dt + ~ oi~ dz a C( ... premia n i = ni(t,u J) r = r(t, uJ) Then a security B(t,u i) which pays cash flow CF(t,u ~) satisfies ...- Authors: Application Administrator
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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A Necessary and Sufficient Condition on Utility Functions for Decreasing Risk Aversion: A Proof using the General Mean Value Theorem.
assumed that an investor, with utility function u, faces a fixed amount of loss a with probability p ... iv < 1. A necessary and sufficient condition on u, for decreasing risk aversion is derived using the ...- Authors: Raj Prabaharan
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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An Econometric Forecasting for the Social Security Trust Funds
residuals from the model. Further, Frees et. al.'s (1997) approach did not account for exogenous interventions ... the fund forecasts by the agencies, Frees et. al.'s (1997) forecasts are more optimistic. In this paper ...- Authors: H Shawn Lin
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Forecasting
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Letters to the National Association of Insurance Commissioners Life/Health Actuarial Task Force Regarding the Development of the New Annuity Non-Forfeiture Law
Task Force Regarding the Development of the New Annuity Non-Forfeiture Law Letters to the national association ... task force regarding the development of the new annuity non-forfeiture law. Letters are addressed to Mr ...- Authors: Roger K Wiard-Bauer
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities
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Stochastic Simulations Using Spreadsheet Software
olle to think catefnlly about hypothetical conditioi~s; (iii) analyzing the o~timt of the smmlatiol~ pro~ides ... and using programming lm~guages. The u~e of spr~adsbeets ~.s a first step in tim problem solution or ...- Authors: Howard Young
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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On The Moments Of Compound Interest Functions When Interest Varies As An AR[2] Process
Kl:,y'o,J O J '...! ~· : dillo-t~egl~essivc PCOCt; 'S$, moment gent"rating function, stochastic inter~' ... ensures that the force of interest g<'n,'rat('s stochastic interest. rates. Finally we assume that ...- Authors: Colin M Ramsay
- Date: Jan 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Editor's Comments from the ARCH
Editor's Comments from the ARCH Brief comment from the Editor about the 17th Actuarial Research ... Editor's Comments from the ARCH Brief comment from the Editor about the 17th Actuarial Research ...- Authors: Society of Actuaries
- Date: Jan 1983
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Actuarial Applications Of Tchebyshef's Inequality
Actuarial Applications Of Tchebyshef's Inequality The purpose of this paper is to introduce some ... some actuarial applications of Tchebyshef's Inequality. Contingencies; 17576 1/1/1981 12:00:00 AM ...- Authors: Murray Silver
- Date: Jan 1981
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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An Alternative Premium Calculation Method for Certain Long-Term Care Coverages
An Alternative Premium Calculation Method for Certain Long-Term Care Coverages In this paper ... expectancy;Long-term care=LTC;Mortality assumption;Mortality rates=Mortality tables=Death rates ;Product ...- Authors: John A Beekman
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Long-term Care>Long-term care insurance; Modeling & Statistical Methods
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A Model for Analyzing the Impact of Selective Lapsation on Mortality
Analyzing the Impact of Selective Lapsation on Mortality This is the abstract of a paper that presents ... various relationships between mortality rates and lapse rates on the mortality experience of a cohort of ...- Authors: Bruce Jones
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods