1
-
10
of
12
results (0.39 seconds)
Sort By:
-
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
-
Annuity Lapse Rate Modeling: Tobit or Logit by Dr. Sam Cox and Yijia Lin
0.071 0.079 8 42 0.319 0.319 9 29 0.103 0.091 10 17 0.089 0.089 11 5 0.058 0.099 Based on the above ... 0.032 0.081 8 42 0.291 0.317 9 29 0.063 0.095 10 17 0.027 0.083 11 5 0.000 0.104 above the observed ...- Authors: Samuel Cox, Yijia Lin
- Date: Nov 2006
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Annuities
-
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
-
Bounds for Ruin Probabilities and Value at Risk
follows. First notice that (16) is equivalent to: (17) d = inf y00 + y10µ1 + y01µ2 + y20µ (2) 1 + y02µ ... VALUE AT RISK Although the second constraint of (17) can be handled directly, the first constraint is ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
-
Portfolio Risk Management with CVAR-Like Constraints
Portfolio Risk Management with CVAR-Like ... third moment (or skewness) inequality in (14) as (17) n∑ i=1 cixi ≥ β + δ. Proof. See Appendix. 2In ... PORTFOLIO RISK MANAGEMENT WITH CVAR-LIKE CONSTRAINTS 17 ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Portfolio management - ERM
-
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
-
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
-
Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization
Modeling Mortality with Jumps: ... setup of the model with permanent jump effects. 17 They argue that mortality series are often contaminated ... transform will produce a risk-adjusted cdf )(* xF : (17) ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Systemic risk; Modeling & Statistical Methods>Stochastic models
-
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
-
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