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Optimal Ruin Calculations Using Partial Stochastic Information
Using Partial Stochastic Information Discussion of how to obtain tight upper and lower bounds on E[hX] ... random variable X with three known moments. Risk measurement;Stochastic models; 2551 10/1/1984 12:00:00 ...- Authors: Samuel Cox, Patrick L Brockett
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Stochastic models
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Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization
Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization ... paper incorporates a jump-diffusion process into the original Lee-Carter model, and uses it to forecast ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Systemic risk; Modeling & Statistical Methods>Stochastic models