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Laplace Transform and Barrier Hitting Time Distributions
Equity-indexed annuities [EIA's] are the fastest growing annuity products. An appealing feature of ... This paper shows how to use Gerber and Shiu's approach to compute two defective density functions ...- Authors: Xiaodong Sheldon Lin
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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A Solution of Defective Renewal Equations with Applications to Ruin Theory
distribution in risk theory', and H(u) is a differentiable fimction for u > 0. To solve (1), we introduce ... geometric distribution. Let /~(u) 1-7~(~5) G (~). (2) Then K(u) is the solution of the integral ...- Authors: Gordon E Willmot, Xiaodong Sheldon Lin
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Modeling Multivariate Risk - To Copula, or Not To Copula: That is the Question
What is a copula? An k-dimensional copula C (u) with u = (u1, · · · , uk) is a real-valued function defined ... following properties: I C (u) = 0, if at least one of the coordinates is 0; I C (u) = uk , if all other coordinates ...- Authors: Xiaodong Sheldon Lin
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods