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Self-Financing Markets and Eventual Arbitrage
Self-Financing Markets and Eventual Arbitrage This paper argues that the self-financing ... prices of stripped coupon and principal payments on U.S. government bonds, where rates of return are estimated ...- Authors: Jacques F Carriere
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments
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Parametric Models for Life Tables
Tables This paper presents a general law of mortality that is equal to a mixture of Gompertz, Weibull ... survival functions. Analytics and informatics;Mortality modeling; 2698 10/1/1992 12:00:00 AM ...- Authors: Jacques F Carriere
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Demography>Mortality - Demography; Modeling & Statistical Methods>Forecasting
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An Investigation of the Gompertz Law of Mortality
An Investigation of the Gompertz Law of Mortality This article investigates the properties of the Gompertz ... than the usual UDD assumption. Life reserves;Mortality modeling;Premiums; 557 1/1/1994 12:00:00 AM ...- Authors: Jacques F Carriere
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance; Modeling & Statistical Methods
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The Bounds of Bivariate Distributions that Limit the Value of Last-Survivor Annuities
The Bounds of Bivariate Distributions that Limit the Value of Last-Survivor Annuities The dependent ... Discount rates=Interest rates;Mortality assumption;Mortality rates=Mortality tables=Death rates ; 2573 ...- Authors: Jacques F Carriere, Lai K Chan
- Date: Oct 1986
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Annuities; Modeling & Statistical Methods
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Simulating Random Variates from Makeham's Distribution and from Others with Exact or Nearly Log-Concave Densities
Simulating Random Variates from Makeham's Distribution and from Others with Exact or Nearly Log-Concave ... Vol. 47. Markov Chain;Monte Carlo simulation;Mortality modeling; 2744 10/1/1995 12:00:00 AM ...- Authors: Jacques F Carriere, John A Mereu, Gordon E Klein, David Scollnik, Jeffrey S Pai
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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A Twelve Parameter Model of Select Mortality Rates
A Twelve Parameter Model of Select Mortality Rates The purpose of this paper is to present a parsimonious ... that explains the pattern of mortality for select and ultimate mortality tables. Specifically, the author ...- Authors: Jacques F Carriere
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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The Effect of Removing Cancer as a Cause of Death When it is Correlated with Other Causes
The Effect of Removing Cancer as a Cause of Death When it is Correlated with Other Causes ... Clearing House 1994, VOL. 1. Cancer;Mortality modeling;Population mortality;Stochastic models; 529 1/1/1994 ...- Authors: Jacques F Carriere
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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New Salary Functions for Pension Valuations
Salary Functions 1 In t roduct ion Consider the s tandard salary function, denoted as Sx where x is ... (1.1) Sx Note that we only need the ratio Sy/S, and so Sx can be arbitrar i ly rescaled. Before ...- Authors: Jacques F Carriere, Kevin Shand
- Date: Jan 1998
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Assumptions and methods
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A Mixed Lognormal Estimator of a Risk Distribution
A Mixed ... matr ix as M~(~) = I ~t ~a2 "" mk+l / th2 ~s "" ink+2 I " i : rhk.~1 r~+2 ..- fn2~,+t (2.2) ... P{t ; ~_). Next calculate r(.~)--(rl ..... rp) 2" u follows "r 1 T2 l"p I 1111 1 I -.. 1 1 r~ ...- Authors: Jacques F Carriere
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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A Continuous Estimator of a Mixing Distribution
true distribution is not in there parametric clas,s~. Lindsa', (1989) constructed a discrete estimator ... hold. Suppose we observe the frequencies ?,', for s--1 ..... T where T is the number of policies in some ...- Authors: Jacques F Carriere
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods