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Option Pricing Without Tears: Valuing Equity-Linked Death Benefits
Option Pricing Without Tears: Valuing Equity-Linked Death Benefits This presentation shows that, if ... 14 Slide Number 15 Slide Number 16 Slide Number 17 Slide Number 18 Slide Number 19 Slide Number 20 ...- Authors: Elias Shiu, Hans U Gerber, Hailiang Yang
- Date: Feb 2014
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Risk Theory with the Gamma Process
Risk Theory with the Gamma Process In ... 000005 [___o __1 . . . . . . . . 0.01 16 17 18 19 20 0 .000052 0 .000029 0 .000016 0 ... u 6 7 8 9 I0 11 12 13 14 15 16 17 18 19 20 0. i 0 .9091 0 .7395 0 .6184 ...- Authors: Hans U Gerber, Elias Shiu, Francois Dufresne
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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On the Time Value of Ruin
under a variety of hypotheses. Finally, Feller [17, p. 362] clarified the situation with what he called ... Laplace Transforms (Spiegel [37, p. 6, Theorem 1-17]), The theorem states that, for a sufficiently ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Option Pricing by Esscher Transforms
related papers in the finance literature are [16], [17], [21], [37], [50], [56], [57], [58], [66], [75] ... " Review of Financial Studies 2 (1989): 241-50. 17. BOYLE, P.P., AND TSE, Y.K. "An Algorithm for Computing ...- 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
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On Optimal Dividends: From Reflection to Refraction
On Optimal Dividends: From Reflection to Refraction Presents some elementary and down-to-earth calculations for the ... simplifies as ψ(x) = e–Rx. (6.21) 17 This is a well-known result; see, for example, ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Pricing Perpetual Fund Protection With Withdrawal Option
Pricing Perpetual Fund Protection With Withdrawal Option Equity-indexed annuities [EIAs] can be viewed ... 13) to obtain (2.10) after some simplifications. 17 4. Comparison with the Perpetual Maximum Option ...- 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
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Option Pricing by Esscher Transforms
related papers in the finance literature are [16], [17], [21], [37], [50], [56], [57], [58], [66], [75] ... IV. Option Pricing by Esscher Transforms 85 17. BOYLE, EE, AND TSE, Y.K. "An Algorithm for Com- ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods