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On the Expected Discounted Penalty Function for Levy Risk Processes
surplus process of the form U(t) = u+ c t− S(t) + η Z(t) , t ≥ 0 , (1) where S is a subordinator with zero ... positive jumps. u is the initial surplus and c is a constant premium rate defined as c = (1 + θ)E [S(1)], where ...- Authors: José Garrido, Manuel Morales
- Date: Jan 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Ruin Modeling for Compound Nonstationary Poisson Processes with Periodic Claim Intensity Rates
Ruin Modeling ... rac t i s i ssued fo r a l im i ted t ime per iod , say one year . Dur ing th i s per iod ... to the po l i cyho lder ; when no c la im i s made ( i .e . no events occur red or they were ...- Authors: José Garrido, Stefanka Chukova, Boyan Dimitrov
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Robust Credibility with the Kalman Filter
Robust Credibility ... are i.i.d., (ii) Conditionally oll @, the r.v.'s Xj~ .... , Xjt are i.i.d.. Since the results only ... , k f i xed 1 is given by for .a(o,) = s (x j , ) + z Ix, . - E (x , , ) ] z = v[~,(e ...- Authors: José Garrido, Rosario Romera
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Renewal Processes Generated by Distributions with Periodic Failure Rates
RESEARCH CLEARING HOUSE 1993 VOL. 1 RENEWAL P I~OCI=~S GENERATED BY D IST I~/BUT ION~ WITH PERIODIC FA ... and su f f i c ient cond i t ions for a non-s ta t ionary Po isson process to have a per iod ...- Authors: José Garrido, Stefanka Chukova, Boyan Dimitrov
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Credibility Theory for Generalized Linear and Mixed Models
Example 2.1 GLMs commonly used in credibility The table below gives the different model components of the ... m my ) Link g identity reciprocal log logit Table 1: GLM Examples Additional examples include inverse ...- Authors: José Garrido, JUN ZHOU
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Actuarial Profession>Academic partnerships; Modeling & Statistical Methods
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Fourier inversion formulas in option pricing and insurance
and calls, some using Parseval’s theorem. The expected value of max[S K,0] also arises in excess-of-loss ... them. The authors take the idea of using Parseval’s theorem further: 1. formulas requiring weaker assumptions ...- Authors: Daniel Dufresne, José Garrido, MANUEL MORALES
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods