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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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Some Practical Considerations in Connection with the Calculation of Stop-Loss Premiums
Practical Considerations in Connection with the Calculation of Stop-Loss Premiums This paper presents a ... also includes a discussion of the paper. From Transactions of Society of Actuaries 1976, Vol. 28. Premiums;Stop-loss ...- 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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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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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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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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Some Moment Inequalities and Their Applications
moment inequalities of probability theory can be applied in three different areas of actuarial science ... contingencies and risk theory. From Transactions of Society of Actuaries 1986, Vol. 38. Annuities;Discount ...- 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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A Probabilistic Model for Life Contingencies and a Delta-Free Approach to Contingency Reserves
discusses some of the main principles of classical life contingencies generalized and formulated in the language ... language of probability theory and develops generalized and exponential reserves. From Transactions of Society ...- 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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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 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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On Optimal Dividends: From Reflection to Refraction
calculations for the optimal dividend strategy that maximizes the expectation of the discounted dividends ... dividends until the possible ruin of a company. Dividends;Risk theory; 14373 1/1/2005 12:00:00 AM ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods