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Credibility Using Copulas
over time. Hence, the copula accounts for the dynamic aspect of claims behavior. Let c(.) be the probability ... information in the distribution of claims, the dynamic dependencies and the associated explanatory variables ...- Authors: Edward Frees, PING WANG
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models
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A Multilevel Analysis of Intercompany Claim Counts
A Multilevel Analysis of Intercompany Claim Counts Automobile insurers classify the risks that ... (2001) and Bolance´ et al. (2003) introduced a dynamic element into the observed latent variable, again ...- Authors: Edward Frees, Emiliano Valdez, Katrien Antonio
- Date: May 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Forecasting Social Security Actuarial Assumptions
Forecasting Social Security Actuarial Assumptions Presented at October 1996 Annual Meeting. ... because it's taken on a static basis. I prefer the dynamic basis that the aged aren't people 65 and over; ...- Authors: Richard Foster, Edward Frees, Howard Young, Krzysztof Ostaszewski
- Date: Oct 1996
- Competency: External Forces & Industry Knowledge>External forces and business performance; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Forecasting; Social Insurance>Social Security
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Research Studies Multiple Lives Dependency Risk In Annuities
Research Studies Multiple Lives Dependency Risk In Annuities Summary of the SOA's ... Capability of the vnodel Ideally, the model would be dynamic and able to capture the intcrplay between government ...- Authors: Jacques F Carriere, Edward Frees
- Date: May 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: The Actuary Magazine
- Topics: Annuities>Pricing - Annuities
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Examining Changes in Reserves Using Stochastic Interest Models
Examining Changes in Reserves Using Stochastic Interest Models This paper focuses on the fact that ... determined from discounted case flows mask the dynamic nature of interest rates. To study this effect ...- Authors: Edward Frees, Siu-Wai Lai
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Simulation Methodology For Actuaries
Simulation Methodology For Actuaries Presented at October 1986 Annual Meeting. This session ... action to be executed by the block. In GPSS, dynamic entities are called transactions or units of traffic ...- Authors: Edward Frees, Charles S Fuhrer, Farrokh Guiahi, Arnold Shapiro, Aaron Tenenbein
- Date: Oct 1986
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Simulation