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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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Multivariate Duration Analysis
approximation from 0.0136% to 0.0066%. The primary limitation of the parallel shift approach is that ... basis to model P(i) and an option-pricing model or direct calculation, D~io) and C~io) can be estimated discretely ...- Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Models for the Distribution of Aggregate Claims in Risk Theory
statistical literature. i. INTRODUCTION One of the primary goals of any insurance risk endeavor is to arrive ... This property is thus desirable, and one of the primary tools used to verify this property is the theory ...- Authors: Harry H Panjer, Elias Shiu, Gordon E Willmot
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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Pricing Perpetual Fund Protection With Withdrawal Option
protection, which is applicable to EIA products. The primary (or “naked”) fund is replaced by a protected (or ... Assuming a geometric Brownian motion for the primary fund, Gerber and Pafumi (2000) derived a closed ...- 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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Financial Accounting Standards No. 87: Recursion Formulas and Other Related Matters
Financial Accounting Standards No. 87: Recursion Formulas and Other Related Matters This paper ... reflecting changes in yields on long-term bonds or direct placements with insurance companies. Referring ...- Authors: Barnet N Berin, Eric Lofgren, Elias Shiu
- Date: Oct 1987
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Pensions & Retirement>Pension accounting
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Cash-Flow Matching and Linear Programming Duality
Cash-Flow Matching and Linear Programming Duality This paper applies the duality theory ... linearization given in Section IV of [15] is a direct consequence of the duality theory of linear programming ...- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management
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Equivalence of Reserve Methodologies
Equivalence of Reserve Methodologies This paper considers policies with annual premiums and ... policy with benefits (a) and (b) defined above. A direct approach to determination of this premium is the ...- Authors: Keith Sharp, Elias Shiu, Serena Ee Ik Tiong
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Reserves - Life Insurance
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On the Time Value of Ruin
clarified the situation with what he called the direct Riemann integrability condition. The condition ... Ig)*g](u) + [t - q/(0)] eP u I(x > u) (9.47) holds. A direct verification of (9.47) seems difficult. However ...- 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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Practical Applications of the Ruin Function
Practical Applications of the Ruin Function This paper is intended to acquaint actuaries with ... give a proof of formula (2) which is perhaps more direct than the proof given in [3]. (Cf. [2], p. 272; ...- Authors: John A Beekman, George E Reckin, Elias Shiu, John Snyder, Daniel J Schwark
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Transactions of the SOA
- Topics: Life Insurance; Modeling & Statistical Methods
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AIDS: Survival Analysis of Persons Testing HIV+
AIDS: Survival Analysis of Persons Testing HIV+ The purpose of this paper is to provide a survival ... in a particular stage prior to diagnosis has a direct effect on the likelihood function since it affects ...- Authors: Beda Chan, Mark Evans, Harry H Panjer, Elias Shiu, J. C. Smith
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Experience Studies & Data>Morbidity