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A Practical Concept of Tail Correlation
of estimation are described, which we call the direct and indirect methods, respectively. Using these ... of the first order diversification factors. By direct calculation we find: ⎩⎨ ⎧ ≠ ==−−−= − − ...- Authors: Application Administrator
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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An Alternative Option Pricing Model
An Alternative Option Pricing Model A European call option pricing model similar to the Black-Scholes ... different values of S T rather than due to any direct bias related to variance, or 2 (26) B(mo T)=0 ...- Authors: Joseph D Marsden
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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Credibility Using Copulas
(loss) distribution. In this work, we develop a direct link between credibility and loss distributions ... Gamma distribution. Moreover, it also gives a direct method for incorporating covariate (explanatory) ...- 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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Theory of Stochastic Mortality and Interest Rates
Theory of Stochastic Mortality and Interest Rates Statistical properties of interest, annuity ... functions. Explicit knowledge of the mgf will allow direct evaluation of such moments. Such moments are ...- Authors: Harry H Panjer, UNKNOWN David Bellhouse
- Date: Aug 1978
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Simplified Cash Flow Testing of Traditional Participating Whole Life Insurance
provision to a provision which allows for the direct recognition of policy loan activity in dividend ... variable policy loan interest rate provisions or direct recognition provisions. Policies issued on this ...- Authors: Dorothy Andrews
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance>Reserves - Life Insurance; Life Insurance>Whole life; Modeling & Statistical Methods>Stochastic models
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Bayesian Reserving Models Inspired by Chain Ladder Methods and Implemented Using WinBUGS
simulation method, de Alba (2002) describes how direct Monte Carlo can be used instead. The former approach ... the chain ladder literature. This paper will also direct the reader as to how these Bayesian models can ...- Authors: David Scollnik
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models
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An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators
model, because paths of interest rates are the primary feature of the model; and (iii) moving between ... scenarios generated are subservi- ent to the primary goal of calculating current market values. The ...- Authors: Michael F Davlin, Merlin F Jetton, James A Tilley, Hal Warren Pedersen
- Date: Oct 1992
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Stochastic models
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Inference for a Leptokurtic Symmetric Family of Distributions Represented by the Difference of Two Gamma Variates
Inference for a Leptokurtic Symmetric Family of Distributions Represented by the Difference ... affects (S ′Σ−1S)−1 and thus we must choose them with care. Feuerverger and McDunnough (1981a) showed that ...- Authors: Louis G Doray, Maciej Augustyniak
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Modeling & Statistical Methods>Stochastic models; Technology & Applications>Business intelligence
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Premium Calculations by Transformed Distributions
Premium Calculations by Transformed Distributions The concept of transformed distributions ... no-arbitrage principle and utility theory are taken care in our prenlium calculation. Let U(t) be the utihty ...- Authors: Abdul Sharif
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models