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Ruin Theory and Credit Risk
Ruin Theory and Credit Risk This paper builds a new risk model for a firm which is sensitive to its credit quality. A modified Jarrow, Lando and Turnball model [Markov Chain model] is used to ...- Authors: Hailiang Yang
- Date: Jan 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Markov Chain; Modeling & Statistical Methods>Stochastic models
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Theory of Stochastic Mortality and Interest Rates
Theory of Stochastic Mortality and Interest Rates Statistical properties of interest, annuity and insurance functions are examined when mortality and interest are treated as having a random ...- Authors: Harry H Panjer, UNKNOWN David Bellhouse
- Date: Aug 1978
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Analyzing Investment Data Using Conditional Probabilities: The Implications for Investment Forecasts, Stock Option Pricing, Risk Premia, and CAPM Beta Calculations
Analyzing Investment Data Using Conditional Probabilities: The Implications for Investment Forecasts, Stock Option Pricing, Risk Premia, and CAPM Beta Calculations This paper demonstrates that ...- Authors: Richard Joss
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
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Premium Calculations by Transformed Distributions
Premium Calculations by Transformed Distributions The concept of transformed distributions is generalized in this paper. First the concepts of net premium intensity, loaded premium intensity and ...- Authors: Abdul Sharif
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models