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Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 6: An Actuarial Bridge to Option Pricing
An Actuarial Bridge to Option Pricing by Hans U. Gerber and Elias S.W. Shiu 1. Introduction Actuaries ... distributed) ran- dom variables { Yk} such that S( j ) = S(O)exp(Y, + II2 + "'" + Yj), j = 1 ,2 ,3 .- Authors: Hans U Gerber, Elias Shiu
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Total Return, Duration and Convexity
Total Return, Duration and Convexity In writing this note on the relationship between total return, ... it was author's intent to produce a better understanding of Redington's theory of immunization ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Leveraging Up Return on Equity by Issuing Subordinated Indebtedness
Leveraging Up Return on Equity by Issuing Subordinated Indebtedness This paper presents ... first one. On the other hand, since the debcntu~s are sub<xdinatc to insurance liabilities, the policyholders' ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments