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Bounds on Expected Values of Insurance Payments and Option Prices
bounds and contact sets), appears earlier in Scarf [17]. Bowers [2] obtained the upper bound independently ... the situation considered by Bowers [2] and Scarf [17], the vector of moments is y=(p., p~2+o-2). The ...- Authors: Samuel Cox
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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Actuarial Usage of Grouped Data: An Approach to Incorporating Secondary Data
only been saved in "banded" form (compare Reitano [17]) or may have come from a published secondary data ... those that were originally motivated by Reitano's [17] article on banded data but that was actually left ...- Authors: Samuel Cox, Patrick L Brockett, Yun Song, Boaz Golany, Fred Y Phillips
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Experience Studies & Data; Modeling & Statistical Methods
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Catastrophe Risk Bonds
according to an article in The Wall Street Journal [17]. In the first, series coupons only' are exposed ... is called a state price vector 7. One may solve (17) for all such vectors to find that the class of ...- Authors: Samuel Cox, Hal Warren Pedersen
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Bounds on Expected Values of Insurance Payments and Option Prices
bounds and contact sets), appears earlier in Scarf [17]. Bowers [2] obtained the upper bound independently ... a development of Reimann-Stlel0es integration. 17 The best bounds on E{h(X)] are denoted formally ...- Authors: Samuel Cox
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance
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Statistical Adjustment of Mortality Tables to Reflect Known Information
Statistical Adjustment of Mortality Tables to Reflect Known Information This paper presents a statistical methodology ... 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 0.00444 0.00493 0.00548 0.00608 0.00673 ...- Authors: Samuel Cox, Allan C Weaver, Patrick L Brockett
- Date: Oct 1984
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Pricing - Life Insurance; Modeling & Statistical Methods
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Procedure for Simulation with Constructed Copulas
Procedure for Simulation with Constructed Copulas This report describes a simple way to construct ... 372603 0.372602 FN(−4,−4) 1.126688× 10−6 3.46191× 10−17 The spreadsheet values of the copula are shown to ...- Authors: Donald Behan, Samuel Cox
- Date: May 2007
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods