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Inference for Logistic-type Models for the Force of Mortality
Models for the Force of Mortality Logistic-type models for the force of mortality like those introduced ... fit to mortality data of people aged over 85 than Makeham’s model where the force of mortality increases ...- Authors: Louis G Doray
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Retirement Needs Framework, Chapter 9: Is Your Standard of Living Sustainable during Retirement? Ruin Probabilities, Asian Options, and Life Annuities
Retirement Needs Framework, Chapter 9: Is Your Standard of Living Sustainable during Retirement? Ruin Probabilities, Asian Options, ... models;Investment risk;Longevity risk; 8814 1/1/2000 12:00:00 AM ...- Authors: Moshe Arye Milevsky, Christopher Robinson
- Date: Jan 2000
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Pensions & Retirement>Retirement risks
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An Alternative Frequency Dependence Model and its Applications
calculate its total operational risk exposure.” (U.S. Office of the Federal Register, National Archives ... n= = . If 1( ,..., ) nC u u is the distribution function of 1( , , ) nU U , then the distribution ...- Authors: SHUBIAO LI
- Date: Mar 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Finance & Investments>Banking - Finance & Investments; Modeling & Statistical Methods
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Option Pricing by Esscher Transforms
Option ... IV Option Pricing by Esscher Transforms Hans U. Gerber and Elias S.W. Shiu Abstract The Esscher ... fix), let h be a real number such that M(h) = S.~eh~f(x)'dx exists. As a function in x, f(x;h) ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Why the Current Practice of Operational Risk Management in Insurance is Fundamentally Flawed: Evidence From the Field
Why the Current Practice of Operational Risk Management in Insurance is Fundamentally Flawed: ... risk, in the Basel Committee on Banking Supervision’s Basel II definition, is unlikely to be a significant ...- Authors: Madhu Acharyya
- Date: Apr 2012
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Finance & Investments; Modeling & Statistical Methods
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Validating a Liability Model
Validating a Liability Model This paper reviews validation for the model of a life insurance ... validation for the model of a life insurance company's liabilities with actual company data. Two methods ...- Authors: Richard D Olswang
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Assessing Regime Switching Equity Return Models
used to assess the fit of several models to the S&P 500 log‐returns. We then complement this analysis ... innovations. Section 5 then assesses the models using the S&P total return index. This is done by first examining ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Finance & Investments; Modeling & Statistical Methods
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Modelling and Measuring Business Risk
andWessels (2005) or Pratt, Reilly and Schweihs (2000) for a more detailed description of this subject) ... = ( ) →∞ : lim P t P dE s tt( ) = ( ) + ( ) ≥∫0 00 , P t P e dE s tr s t( ) = ( ) + ( ) ≥− ( )∫0 00 ...- Authors: Klaus Bocker
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Multivariate Duration Analysis
for N and N', since D;, = l/2D N, and C;~ = 1/4C u by (3.3). To be uniquely defined, one can normalize ... the upper limit of integration with s, say, then substituting s= 1 into the second-order Taylor expansion ...- Authors: Robert Reitano
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods