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Divided Differences and Determinants
Divided Differences and Determinants In problem 24, Chapter 5, of Kellison's 'Fundamentals of Numerical Analysis' it is indicated ... be used in numerator and denominator. Deja vu? 17 ...- Authors: Hans U Gerber
- Date: Jan 1981
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Some Practical Considerations in Connection with the Calculation of Stop-Loss Premiums
jd. Obviously, X = dNt + 2dN2 + 3dNs + . . . . (17) Also, it is well known that Ni has a Poisson distribution ... 8. . 9. . 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. P( F l, a)/ P( F, a) d~2 d-~ ...- Authors: Hans U Gerber, Donald A Jones, Harry H Panjer, Application Administrator
- Date: Oct 1976
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance; 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 presentation shows that, if ... 14 Slide Number 15 Slide Number 16 Slide Number 17 Slide Number 18 Slide Number 19 Slide Number 20 ...- 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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On the Time Value of Ruin
under a variety of hypotheses. Finally, Feller [17, p. 362] clarified the situation with what he called ... Laplace Transforms (Spiegel [37, p. 6, Theorem 1-17]), The theorem states that, for a sufficiently ...- 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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Risk Theory with the Gamma Process
Risk Theory with the Gamma Process In ... 000005 [___o __1 . . . . . . . . 0.01 16 17 18 19 20 0 .000052 0 .000029 0 .000016 0 ... u 6 7 8 9 I0 11 12 13 14 15 16 17 18 19 20 0. i 0 .9091 0 .7395 0 .6184 ...- 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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A Probabilistic Model for Life Contingencies and a Delta-Free Approach to Contingency Reserves
A Probabilistic ... t'. Since E[Lv] = 0, Coy (L,, Lv) = E[L,L,,I. (17) Because of the iterative rule, this is E[E[LtLv ... 0.0 77.55 70.22 63.10 57.75 54.21 51 64 50 17 49 22 48 65 48 63 49 43 50 22 50 97 51 82 ...- Authors: Gottfried O Berger, Hans U Gerber, Harry H Panjer
- Date: Oct 1976
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession>Professional development; Annuities>Reserves - Annuities; Life Insurance>Reserves - Life Insurance
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Some Moment Inequalities and Their Applications
Some Moment ... inequality 1 - exp( - tex) ~tx(t ) < = d~, (17) t which appears in example 5.12 of Bowers et ... ZERo-CouPoN BOND yt,s-- I 23456 qk * - -O0000 17(XI q~-~ 1700. p ,-- 1000 & is 0.088438 8o ...- Authors: Hans U Gerber
- Date: Oct 1986
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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On Optimal Dividends: From Reflection to Refraction
On Optimal Dividends: From Reflection to Refraction Presents some elementary and down-to-earth calculations for the ... simplifies as ψ(x) = e–Rx. (6.21) 17 This is a well-known result; see, for example, ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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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 ... 13) to obtain (2.10) after some simplifications. 17 4. Comparison with the Perpetual Maximum Option ...- 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 by Esscher Transforms
related papers in the finance literature are [16], [17], [21], [37], [50], [56], [57], [58], [66], [75] ... IV. Option Pricing by Esscher Transforms 85 17. BOYLE, EE, AND TSE, Y.K. "An Algorithm for Com- ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods