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On the Time Value of Ruin
On the Time Value of Ruin This paper studies the joint distribution of the time of ruin, the surplus ... and the deficit at ruin. The classical model is generalized by discounting with respect to the time ...- 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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Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 6: An Actuarial Bridge to Option Pricing
Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 6: An Actuarial Bridge to Option ... measure, model, and manage risks. Risk associated with the investment function is a major uncertainty faced ...- Authors: Hans U Gerber, Elias Shiu
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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The Time Value of Ruin in a Sparre Andersen Model: Ruin Theory by Divided Differences
The Time Value of Ruin in a Sparre Andersen Model: Ruin Theory by Divided Differences This paper discusses ... discusses the time value of ruin in a Sparre Anderson Model and presents multiple equations, including ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical 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 ... compound Poisson. In this paper the authors examine a more general model for the aggregate claims process: ...- 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
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Option Pricing by Esscher Transforms
shows that the Esscher transform is an efficient technique for valuing derivative securities if the logarithms ... logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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Option Pricing by Esscher Transforms
that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms ... logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Actuarial Approach to Option Pricing
Approach to Option Pricing In this paper we study the pricing of financial options and contingent claims. We ... time-honored concepts in actuarial science - the Esscher transform and the adjustment coefficient - are efficient ...- 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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Pricing Perpetual Fund Protection With Withdrawal Option
withdrawal from the fund [before maturity] is not permitted. This paper studies the pricing of dynamic protection ... without a maturity date, i.e., the investor chooses the date to cash in the fund accumulation. Derivatives;Equity-indexed ...- 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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Option Pricing Without Tears: Valuing Equity-Linked Death Benefits
Option Pricing Without Tears: Valuing Equity-Linked Death Benefits This presentation shows ... if the options or guarantees are exercisable only at the moment of death of the policyholder, the mathematics ...- Authors: Elias Shiu, Hans U Gerber, Hailiang Yang
- Date: Feb 2014
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Option Pricing Without Tears: Valuing Equity-Linked Death Benefits
Option Pricing Without Tears: Valuing Equity-Linked Death Benefits This abstract describes ... if the options or guarantees are exercisable only at the moment of death of the policyholder, the mathematics ...- Authors: Elias Shiu, Hailiang Yang, Hans U Gerber
- Date: Feb 2014