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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
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Optimal Ruin Calculations Using Partial Stochastic Information
Optimal Ruin Calculations Using Partial Stochastic Information Discussion of how to obtain tight ... Using Partial Stochastic Information Discussion of how to obtain tight upper and lower bounds on E[hX] ...- 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