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A Stochastic Definition of Future Shares
A Stochastic Definition of ... Ramsay are discussed. A modification of Ramsay's definition is proposed and an application to life ... insurance reserves is presented. N/A; 798 1/1/2000 12:00:00 AM ...- Authors: José Garrido
- Date: Jan 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models
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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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Minimum Quadratic Distance Estimation for A Parametric Family of Discrete Distributions Defined Recursively
Key u~rds and pAz'ases: Hi nl mum di s tance es t l mat i on , d i sc r e te d i s t r ibut ... in fe rence , app l i ca t ion to compound di s t r i but i ons . AMS Ig85 subject c[~ssi/£cattoru~ ...- Authors: José Garrido, ANDREW LUONG
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Estimation methods; Modeling & Statistical Methods>Modeling efficiency
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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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Surplus Dependent Risk Models
corresponding piecewise deterministic Markov process S(t) with infinitesimal generator, fo°°[f(x y) f(x)lP(dy)] ... probability of ruin is the same for the process S(t) and U(t), the latter being the classical compound ...- Authors: José Garrido, Wojciech Szatzschneider
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments