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On the Time Value of Ruin
HOUSE 1997 VOL. 1 On the Time Value of Ruin Hans U. Gerber Ecole des hautes 6tudes commerciales Universit6 ... in Chapter 12 of Actuarial Mathematics [4]. Thus u _> 0 is the insurer's initial surplus. The premiums ...- 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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The Simplex Algorithm and the Exchange Method
The ... SIMPLEX ALGORITHM AND THE EXCHANGE METHOD Hans u. Gerber The presentation of the simplex algorithm ... 5x1 + 5x2 + 10x3 < 1000 10x1 + 8x2 + 5x3 < 2000 < 500 (This is the example discussed in the ...- Authors: Hans U Gerber
- Date: Jan 1981
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Risk Theory with the Gamma Process
with the Gamma Process By Fran(;ois Dufresne, Hans U. Gerber and Elias S.W. Shiu Lava/University, University ... function Q(x) defines an aggregate claims process {S(t)} I ~ o in the following way. For each x > 0, ...- 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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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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Pricing Perpetual Fund Protection With Withdrawal Option
Perpetual Fund Protection with Withdrawal Option Hans U. Gerber Ecole des hautes études commerciales Université ... provides the amount F(t) = S2(t) max{1, max 0≤ ≤τ t S S 1 2 ( ) ( ) τ τ }, if it is exercised at time ...- 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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Ruin Theory Beyond Chapter 12
1993 VOL. 1 RUIN T~USOEY BEYOND CBAPTmu~ 12 Hans U. Gerber, Un ivers i ty of Lausanne (Summary of ... the c la im amount d i s t r ibut ion is a mix ture of exponent ia l d i s t r ibut ions . The resul ...- Authors: Hans U Gerber
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments
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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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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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A Proof Of The Schuette-Nesbitt Formula For Dependent Events
A Proof Of The Schuette-Nesbitt Formula For Dependent Events This is Mr. Gerber's proof ... Formula For Dependent Events This is Mr. Gerber's proof of the Schuette-Nesbitt formula. N/A; 18963 ...- Authors: Hans U Gerber
- Date: Jan 1979
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Professional associations
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Divided Differences and Determinants
Divided Differences and Determinants In problem 24, Chapter 5, of Kellison's 'Fundamentals ... Determinants In problem 24, Chapter 5, of Kellison's 'Fundamentals of Numerical Analysis' it is ...- Authors: Hans U Gerber
- Date: Jan 1981
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods