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Stochastic Life Contingencies with Solvency Considerations
tech- niques. In the development, Section 4 is a direct extension of Section 3 to the case of several ... literature from an ac- tuarial perspective. The primary innovation of this paper is that the liabilities ...- Authors: Daniel Dufresne, Edward Frees, Elias Shiu
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession>Competencies; Financial Reporting & Accounting
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Sums of Lognormals
expressions. Numerically, (2) does agree with the direct integralZ 1 0 dy σ √ 2πy exp ∑ iuy − 1 2σ2 ... numbers. For instance, if µ = 0, σ = 1, then the direct formula yields (using Mathematica) 0.340301 + ...- Authors: Daniel Dufresne
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Some Aspects of Statement of Financial Accounting Standards No. 87
process in order to influence its behaviour. A primary objective for most control systems is to make ... continuity). In this example, however, other more direct methods can be used to show that (ULt) is ergodic ...- Authors: Daniel Dufresne
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Pension accounting