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A Model for Analyzing the Impact of Selective Lapsation on Mortality
for Analyzing the Impact of Selective Lapsation on Mortality This is the abstract of a paper that presents ... examining the effect of various relationships between mortality rates and lapse rates on the mortality ...- Authors: Bruce Jones
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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On the Confidence Interval of Black-Scholes Model
On the Confidence Interval of Black-Scholes Model This is the abstract of a paper that derives expressions ... expressions for the moments of the distribution of the option payoff in a Black Scholes economy. These results ...- Authors: Phelim Boyle, Hailiang Yang
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Enhancing Insurer value using Reinsurance and Value-at-Risk Criterion
Value-at-Risk Criterion This is the abstract of a paper that complements the existing research on optimal ... another model for the determination of the optimal reinsurance design. Value at risk=VAR; 14431 1/1/2008 ...- Authors: Ken Seng Tan, Chengguo Weng
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Reinsurance
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Estimators of the Regression Parameters of the Zeta Distribution
Estimators of the Regression Parameters of the Zeta Distribution The zeta distribution with regression ... because of the difficulty of estimating the parameters by traditional maximum likelihood. This is the abstract ...- Authors: Louis G Doray
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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The expected discounted penalty at ruin for a risk model with two-sided jumps
The expected discounted penalty at ruin for a risk model with two-sided jumps This abstract describes ... describes a paper that considers a general risk model in which both the claim and income gain arrivals follow ...- Authors: Yi Lu, Shuanming Li
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods
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The Dynamic Financial Analysis of Property-Liability Insurance Companies
The Dynamic Financial Analysis of Property-Liability Insurance Companies This is the abstract of a paper ... model that will provide insight into the true inherent value of a property-liability insurance company ...- Authors: Richard Gorvett
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Is the Compression of Morbidity a Universal Phenomenon?
Is the Compression of Morbidity a Universal Phenomenon? A recent study sheds light on the measurement ... implications of the relationship between increased morbidity and declining disability. The results were ...- Authors: Jean Marie Robine, Siu Lan Cheung, Shiro Horiuchi, A Roger Thatcher
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge; External Forces & Industry Knowledge>Actuarial theory in business context; Leadership>Thought leadership; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Actuarial Profession>Academic partnerships; Experience Studies & Data>Morbidity; Global Perspectives; Health & Disability>Disability insurance; Modeling & Statistical Methods
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Robust and Efficient Fitting of Severity Models and the Method of Winsorized Moments
Robust and Efficient Fitting of Severity Models and the Method of Winsorized Moments 3/13/2019 12:00:00 ...- Authors: Vytaras Brazauskas
- Date: Mar 2019
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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New Iterative Calculation of American-style Derivatives - A Lower Approximation of the Snell Envelope
Calculation of American-style Derivatives - A Lower Approximation of the Snell Envelope This is the abstract ... abstract of a paper that presents an iterative procedure for computing the lower approximation of the Snell ...- Authors: Dian Zhu
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Model Uncertainty and Selection in Operational Risk Modeling
Model Uncertainty and Selection in Operational Risk Modeling This abstract describes a paper that investigates ... different ways of treating the operational loss data collection threshold. modeling;value-at-risk;operational ...- Authors: Daoping Yu, Vytaras Brazauskas
- Date: Apr 2018
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Operational risks; Modeling & Statistical Methods