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Sequential Credibility Evaluation via Stochastic Approximation
in a sequential form as follows: O/n, ^ ~,,, = s~-~ - - - (~, , -~ - *~), (3) n which is a stochastic ... and Makov (1998)) E(x.+~ [ xl,x~ .... x,,,A) = E(,u [ x~,xz .... x,.,A) (6) n o ;~ - no+n~ m+no+n~ ...- Authors: Udi E Makov, Zinoviy Landsman
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
its total risk capital is TCEXj |S (sq) = E (Xj|S > sq) , (4) where S = X1 + X2 + · · ·Xn. Certainly, ... the whole company, i.e. TCES (sq) = nX j=1 E (Xj|S > sq) . (5) In this paper we advance (4) and (5) ...- Authors: Edward Furman, Zinoviy Landsman
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments