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An Investigation of the Gompertz Law of Mortality
Investigation of the Gompertz Law of Mortality This article investigates the properties of the Gompertz distribution ... given in terms of the left-truncated gamma function. Moreover, approximations for the mean, variance ...- 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 ... between two lives is readily analyzed within the context of probability theory. This paper presents useful ...- 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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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 Multiple decrement ... theory traditionally is based on the assumption that competing causes of decrement are stochastically independent ...- 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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Nonparametric Tests for Heterogeneity of Risk
Heterogeneity of Risk Consider a portfolio of insurance policies where the mean frquency of claims for ... assumption is that the number of claims for a policy is a Poisson random variable. In this paper the author shows ...- Authors: Jacques F Carriere
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Self-Financing Markets and Eventual Arbitrage
This paper argues that the self-financing axiom with mild assumptions on the conditional expected returns ... is accomplished by minimizing the conditional variance of a trade when the conditional expectation is a ...- 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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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 ... explains the pattern of mortality for select and ultimate mortality tables. Specifically, the author modeled ...- 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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Simulating Random Variates from Makeham's Distribution and from Others with Exact or Nearly Log-Concave Densities
Carlo and related methods recently presented in the statistical literature can be used to quickly and ... nearly log-concave densities. From Transactions of Society of Actuaries 1995, Vol. 47. Markov Chain;Monte ...- 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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Parametric Models for Life Tables
Parametric Models for Life Tables This ... paper presents a general law of mortality that is equal to a mixture of Gompertz, Weibull, Inverse-Gompertz ...- 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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A Mixed Lognormal Estimator of a Risk Distribution
Lognormal Estimator of a Risk Distribution This paper discusses a mixed lognormal estimator of a risk distribution ... distribution. Using the observed claim frequencies of a portfolio, the author presents a continuous nonparametric ...- 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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Estimation of a Multivariate Copula
Estimation of a Multivariate Copula This paper develops the formula for estimation of multivariate copula ... results can be applied to the estimation of correlation coefficients. From the Actuarial Research Clearing ...- Authors: Jacques F Carriere
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Estimation methods