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Actuarial Approach to Option Pricing
Actuarial Approach to Option Pricing In this paper we study the pricing of financial options and contingent claims. We show that two time-honored concepts in actuarial science - the Esscher ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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Abstracts
Abstracts Abstracts of various papers published in ARCH 1983 Vol. 1 Analytics and informatics; 17659 1/1/1983 12:00:00 AM ...- Authors: Samuel Cox, Ralph Garfield, James C Hickman, Warren Luckner, Arnold Shapiro, Elias Shiu, Hung-Ping Tsao, Joseph Tupper, Patrick L Brockett, JOHN MICHAEL MCADON, LORI LYNN SCHUMACHER, DAVID C WU
- Date: Jan 1983
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: 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 a formula for calculating the expected rate of return on shareholders' equity when an insurance ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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Annuities with Negative Payment Frequency
Annuities with Negative Payment Frequency This paper is a proof of a conjecture that appeared in a letter to the Editor of The Actuary. From the Actuarial Research Clearing House 1991 Vol.- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Technology & Applications>Analytics and informatics
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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 as mutual funds wrapped around with various guarantees. A recent paper derived a closed form ...- 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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Total Return, Duration and Convexity
Total Return, Duration and Convexity In writing this note on the relationship between total return, duration and convexity, it was author's intent to produce a better understanding of ...- 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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Derivatives of Decreasing Life Annuity
Derivatives of Decreasing Life Annuity A short note on derivatives of decreasing life annuities that was motivated by Exercise 5.35 on page 156 of 'Actuarial Mathematics'.- Authors: Elias Shiu
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Actuarial Research Clearing House 1998 VOL. 2 A Joint-Life and Reserve Problem
Actuarial Research Clearing House 1998 VOL. 2 A Joint-Life and Reserve Problem The following problem is from the 1968 Society of Actuaries Part 4 Examination on Life Contingencies. It is an ...- Authors: Elias Shiu, Khang-Yee Lim
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance
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Divided Differences by Contour Integration
Divided Differences by Contour Integration The Cauchy integral formula is applied to derive various results on divided differences. Analytics and informatics; 17660 1/1/1983 12:00:00 AM ...- Authors: Elias Shiu
- Date: Jan 1983
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Estimation methods
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Risk Theory with the Gamma Process
Risk Theory with the Gamma Process In classical collective risk theory, the aggregate claims process is assumed to be compound Poisson. In this paper the authors examine a more general model for ...- 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