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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 ... to forecast mortality rates and analyze mortality securitization. Hedge funds;Mortality modeling;Mortality ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Systemic risk; Modeling & Statistical Methods>Stochastic models
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Optimal Ruin Calculations Using Partial Stochastic Information
at time t is defined to be U(t) = u + ct - S(t), t>-O. Here U(0) = u is the initial surplus, c is ... fund in dollars per year, and S is the stochastic claims process: S(t) = X l + . . . + Xu(o, where ...- 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