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Stochastic Life Annuities
Stochastic Life Annuities This paper gives analytic approximations for the distribution of a stochastic ... distribution of a stochastic life annuity. Stochastic Life Annuity; 14404 11/1/2008 12:37:00 PM ...- Authors: Daniel Dufresne
- Date: Nov 2008
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Option Pricing With Stochastic Volatility: Applying Parseval's Theorem
With Stochastic Volatility: Applying Parseval's Theorem This is the abstract for the presentation ... with stochastic volatility: applying Parseval's theorem. Abstract; 14502 7/30/2010 12:38:00 PM ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2010
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Stochastic Life Contingencies with Solvency Considerations
are no longer readily available. Even if the mortality experiences of the policies are independent, the ... of interest and various decrements including mortality, disability, and so on. Under the modern approach ...- Authors: Daniel Dufresne, Edward Frees, Elias Shiu
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession>Competencies; Financial Reporting & Accounting
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Some Aspects of Statement of Financial Accounting Standards No. 87
assets would be random. Other factors (e.g. mortality) are supposed static. Chapter 1 describes the ... information about rates implicit in current prices of annuity contracts that could be used to effect settlement ...- Authors: Daniel Dufresne
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Pension accounting
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A General Formula for Option Prices in s Stochastic Volatility Model
A General Formula for Option Prices in s Stochastic Volatility Model This presentation considers the ... stochastic volatility. The presentation shows how Parseval’s theorem may be used to express those prices as Fourier ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Two Notes on Financial Mathematics
Two Notes on Financial Mathematics Contains two separate articles, called notes. The first ... more or less self-contained introduction to Jensen’s inequality and to another formula, which the author ...- Authors: Daniel Dufresne
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Annuities>Payout annuities; Finance & Investments>Portfolio management - Finance & Investments; Reinsurance>Stop-loss insurance
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Beta-Gamma Algebra, Discounted Cash-Flows, and Barnes' Lemmas
p ≥ 0. 4 Mellin transform: if X ≥ 0, then MX(s) = EXs. Mellin transforms for sums of positive variables ... b)Γ(c+ d) Γ(a)Γ(c)Γ(b+ d) ua−1(1−u)b+d−1 2F1(a+b−c, d; b+d; 1−u)1{0<u<1}. 10 Theorem F. (a) If Re(p) ...- Authors: Daniel Dufresne
- Date: Dec 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Modeling & Statistical Methods>Stochastic models
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Actuarial Research Clearing House ARCH 1989 Vol. 1 - Stability of Pension Systems When Rates of Return are Random
form an i.i.d. sequence with mean r and variance u'. rt is the rate earned on assets during the period ... ation dates s, s+l, ... ,s+m-l. The fact that a...... is calculated at rate m ensures that l,s is in fact ...- Authors: Daniel Dufresne
- Date: Jan 1989
- Publication Name: Actuarial Research Clearing House
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Fluctuations of Pension Contributions and Fund Level
2. The s imples t case : the accumulated va lue of 1 per annum One o f the s imples t "pens ... Rt_l). Let U t be the accumulated value at time t of one unit invested at time 0. The table below shows ...- Authors: Daniel Dufresne
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Assumptions and methods
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Current Research on Pension Accounting
the corridor depicted; when the abolute value of U/U~ is smaller than the threshold amount, the system ... 10% max{Fund, ActUarial Liability} 324 gai,~ s and losses is apparently contained in paragraph 184 ...- Authors: Daniel Dufresne
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Defined benefit plans