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Some Remarks in Statistical Independence and Fractional Age Assumptions
1. In t roduct ion Consider a general status (u) and its future Lifetime random variable T. Let tP~ ... and the fractional portion of T be S = T - [T], i.e. T = K + S. Assumptions with respect to the joint ...- 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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A Queuing Theoretic Approach to the Analysis of the Claims Payment Process
liabilities in Schedule H of the NAIC statement in the U.S. Fundamental concepts involved in the analysis of ... indemnity-type coverages, for ex- ample, a continuance table (for example, Bowers et al. [2, p. 377]) would ...- Authors: Gordon E Willmot
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Financial Reporting & Accounting
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A Queueing Theoretic Approach to the Analysis of the Claims Payment Process
A Queueing ... research. GORDON E. WILLMOT Depar tment of S ta t i s t i cs and Actuar ia l Sc ience Un ivers ... This paper will appear in TSA 42, 1990. 261 Table o f Contents 1. In t roduct ion 1.1 The ...- Authors: Gordon E Willmot
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance>Claims - Life Insurance
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Martingales and Ruin Probability
and then use it to give a short proof of Lundb(ng s inequality. Theorem 1.1. Let X = (X,,)n~r be a sub-martingale ... E(X~ +) < E(iXN]). (1) A.P( ,nax X,, > A) < E(XN : u<,<N o _ < , , < N - - - - _ _ - - - - - - ...- Authors: Gordon E Willmot, Hailiang Yang
- 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
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A Solution of Defective Renewal Equations with Applications to Ruin Theory
distribution in risk theory', and H(u) is a differentiable fimction for u > 0. To solve (1), we introduce ... geometric distribution. Let /~(u) 1-7~(~5) G (~). (2) Then K(u) is the solution of the integral ...- Authors: Gordon E Willmot, Xiaodong Sheldon Lin
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Non-exponential Bounds on the Tails of Compound Distributions
Pr (X=n)=p~, n = 0 ,1 ,2 , . . . . (1) Let S = X 1 + X 2 -1- . . . + X N (2) We are interested ... in estimating the tail probability (~,(x) = Pr (S > x), x > O, 3) which has applications in many ...- Authors: Gordon E Willmot, Xiaodong Sheldon Lin
- 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
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Models for the Distribution of Aggregate Claims in Risk Theory
Models for the Distribution of Aggregate Claims in Risk Theory This paper considers the distribution ... submitted discussion paper. Catastrophic risk;Mortality modeling;Stochastic models;Risk theory; 2539 ...- Authors: Harry H Panjer, Elias Shiu, Gordon E Willmot
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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Lundberg Bounds on the Tails of Compound Distributions
Man~m~mt - The LeOe mecae~l~ ~ri)d~ote ~lCho~ e! I~u~i)r, ess &C~h~tl~tf~|OIh The M.W, L~k~d Cee¢~ k~r ... before March 23rd. Hope to see you in Israel S incere ly yours, YEHUDA KAHANE, Ph.D. Associate ...- Authors: Gordon E Willmot, XIAODONG LIN
- Date: Jan 1980
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods