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Natural Hedging of Life and Annuity Mortality Risks
Natural Hedging of ... 65 1. 00 36 0. 05 84 0. 77 16 0. 99 79 1. 17 21 re sa n n A nn ui ty re se rv ec 3, 18 ... IO Lo g(( res lif e+ 1)/ res an n) - 0. 53 17 3. 40 88 - 23 .8 61 9 0. 01 08 10 .3 16 2 ...- Authors: Samuel Cox, Yijia Lin
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Portfolio management - Finance & Investments
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Modeling Mortality Risk from Exposure to a Potential Future Extreme Event and Its Impact on Life Insurance
northwestern Turkey at 3:02 local time on August 17, 1999, and lasted for 45 seconds (Sansal, 2003). ... or ( ) ( ) ( )[ ]ξξξτ −−+=+ tHtxstxs exp,;* . (17) Similarly, , the number of people surviving age ...- Authors: Samuel Cox, Yungui Hu
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments; Life Insurance
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SPDA - Interest-Sensitive Cash-Flow Analysis
999 21 Bank/S&L 7 65-69 18 30,000-49,999 8 70-74 17 r_,OOOandover 9 75+ Chart 5 is the same except it ... 6044 15 _O,O00-_,ggg 7 _ 16 80.000-49.999 8 70-74 17 50.000 ¢_r<lover 9 75+ CHART 6 PartialV_/_hdrawalActivity ...- Authors: Samuel Cox, Peter B Deakins, Paul D Laporte, Warren Luckner
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Individual annuities
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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
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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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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
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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
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Joint Life Annuity Formulations
Joint Life Annuity Formulations Outline of modifications to formulas in previously released ... fieetirigs Jan. 12, ,Baltitiore,;Actuaries Club J ,an. 17, Chicago ,Actuarial Club .Jan. 18, Seattle Actuarial ...- Authors: Samuel Cox
- Date: Jan 1978
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: The Actuary Magazine
- Topics: Annuities>Pricing - Annuities; Technology & Applications
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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