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The Uniform Distribution of Deaths Assumption and Probability Theory
OF DEATHS ASSUMPTION AND PROBABILITY THEORY Hans U. Gerber and Donald A. Jones The purpose of th ... and K is the cur ta te durat ion at death. Then U = T - K is the f rac t iona l par t of a year ...- Authors: Hans U Gerber, Donald A Jones
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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Actuarial Approach to Option Pricing
1 Actuarial Approach to Option Pricing Hans U. Gerber Ecole des hautes 6tudes commerciales Universit6 ... stochastic processes. Forj = O, 1,2 . . . . . let S(j) denote the price of a stock a timej. Assume that ...- 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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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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A General Model For Life Contingencies
A GENERAL MODEL FOR LIFE CONTINGENCIES Hans U. Gerber 1. Formulation of the Model and Net Reserves ... time t • It is easy to show that and that Let s < t • From the recursive formula for reserves it ...- Authors: Hans U Gerber
- Date: Jan 1978
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments
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Option Pricing by Esscher Transforms
Option ... IV Option Pricing by Esscher Transforms Hans U. Gerber and Elias S.W. Shiu Abstract The Esscher ... fix), let h be a real number such that M(h) = S.~eh~f(x)'dx exists. As a function in x, f(x;h) ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods