1
-
5
of
5
results (0.53 seconds)
Sort By:
-
Pricing Perpetual Fund Protection With Withdrawal Option
derived a closed form formula for pricing this dynamic guarantee if early withdrawal from the fund [before ... not permitted. This paper studies the pricing of dynamic protection without a maturity date, i.e., the investor ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Dynamic simulation models
-
Option Pricing by Esscher Transforms
Computation 32 (1978): 277-79. 32. DUFFIE, D. Dynamic Asset Pricing Theory. Princeton: Princeton, University ... LUSKIN, D.L. ED. PorOColio Insurance: A Guide to Dynamic Hedging. New York: Wiley, 1988. 56. ~VIADAN, ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
-
Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 6: An Actuarial Bridge to Option Pricing
23:185-211. Aase, K.K. 1993b. "Premiums in a dynamic model of reinsurance market." Scandinavian Actuarial ... and E.S.W. Shiu. 1996. "Actuarial bridge to dynamic hedging and option pricing." Insur- ance: Mathematics ...- Authors: Hans U Gerber, Elias Shiu
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
-
Option Pricing by Esscher Transforms
Computation 32 (1978): 277-79. 32. DUFFLE, D. Dynamic Asset Pricing Theory. Princeton: Princeton University ... LusKir~, D.L. ED. Por(folio Insurance: A Guide to Dynamic Hedging. New York: Wiley, 1988. 56. MADAN, D ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
-
Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Applications
Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory ... theory or the Kolmogorov-Ornstein theorem for dynamic flows. Incidentally, the Boltzmann H-Theorem is ...- Authors: Bradley P Carlin, Beda Chan, Thomas Herzog, William L Roach, Elias Shiu, Patrick L Brockett, Josh Babier, Wojciech Szatzschneider, E S Rosenbloom
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession; Modeling & Statistical Methods