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Credibility Using Copulas
Credibility Using Copulas This paper develops credibility using a longitudinal data framework. In a longitudinal data framework, one might encounter data from a cross-section of risk classes ...- Authors: Edward Frees, PING WANG
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models
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On Estimation of Parameters of the Pareto Distribution
On Estimation of Parameters of the Pareto Distribution The two-parameter Pareto distribution is a commonly used model in reliability and risk modeling. Minimum variance unbiased estimates of the ...- Authors: Rohan J Dalpatadu, Ashok K Singh
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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Inference for a Leptokurtic Symmetric Family of Distributions Represented by the Difference of Two Gamma Variates
Inference for a Leptokurtic Symmetric Family of Distributions Represented by the Difference of Two Gamma Variates In this paper, we introduce a family of leptokurtic symmetric distributions ...- Authors: Louis G Doray, Maciej Augustyniak
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Modeling & Statistical Methods>Stochastic models; Technology & Applications>Business intelligence
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Mitigating Volatility of Retiree Health Valuation Results
Mitigating Volatility of Retiree Health Valuation Results Exploration of sources of volatility in retiree health valuations, noting how volatility arises and might be mitigated, with discussion ...- Authors: Jeffrey Petertil, Justin Petertil
- Date: Sep 2012
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Professional Values>Practice expertise; Professional Values>Public interest representation; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Economics>Financial economics; Finance & Investments>Economic value; Health & Disability>Health insurance; Modeling & Statistical Methods>Deterministic models; Pensions & Retirement>Assumptions and methods; Pensions & Retirement>Retiree medical
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On a Class of Discrete Time Renewal Risk Models
On a Class of Discrete Time Renewal Risk Models We consider a class of compound renewal risk process with claim waiting times have a discrete Km distribution. The classical compound binomial risk ...- Authors: Shuanming Li
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement In this Chapter we present a novel way for estimating aggregated EC figures based on Bayesian copula estimation. Contrary ...- Authors: Klaus Bocker
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Bayesian methods
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Asymptotics In The Subexponential Case
Asymptotics In The Subexponential Case This is a summary of the presentation given during the ARC Conference. Its purpose was to give a brief introduction to subexponential behavior and to show ...- Authors: DIEGO HERNANDEZRANGEL
- Date: Jan 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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The Use of Analytical-Statistical Simulation Approach in Operational Risk Analysis
The Use of Analytical-Statistical Simulation Approach in Operational Risk Analysis Quantitative operational risk assessment is essentially based on stochastic scenario modeling of operational ...- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Operational risks; Modeling & Statistical Methods>Stochastic models
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An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators
An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators This paper, originally published in 1992 in the Transactions of Society of Actuaries Vol. 44, deals with a topic ...- Authors: Michael F Davlin, Merlin F Jetton, James A Tilley, Hal Warren Pedersen
- Date: Oct 1992
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Stochastic models
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A Numerical Method for Computing the Probability Distribution of Total Risk of Portfolio
A Numerical Method for Computing the Probability Distribution of Total Risk of Portfolio In the present paper, we propose and investigate a numerical method of computing the probability ...- Authors: Rohan J Dalpatadu, Andy Tsang, Ashok K Singh
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models