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Evaluation of the Rollover Option
Evaluation of the Rollover Option The purpose of this paper is to examine a special case of option pricing ... pricing theory in which the insurance company promises the customer to exercise the option for him. This ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investments
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On the Time Value of Ruin
On the Time Value of Ruin This paper studies the joint distribution of the time of ruin, the surplus ... and the deficit at ruin. The classical model is generalized by discounting with respect to the time ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 6: An Actuarial Bridge to Option Pricing
Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 6: An Actuarial Bridge to Option ... measure, model, and manage risks. Risk associated with the investment function is a major uncertainty faced ...- Authors: Hans U Gerber, Elias Shiu
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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AIDS and the Calculation of Life Insurance Functions
AIDS and the Calculation of Life Insurance Functions In this paper, the calculation of life insurance ... consideration is examined. From Transactions of Society of Actuaries 1989, Vol. 41. Life reserves;Premiums;HIV/AIDS; ...- Authors: Colin M Ramsay, Eric Seah, Elias Shiu, J. C. Smith
- Date: Oct 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance
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The Time Value of Ruin in a Sparre Andersen Model: Ruin Theory by Divided Differences
The Time Value of Ruin in a Sparre Andersen Model: Ruin Theory by Divided Differences This paper discusses ... discusses the time value of ruin in a Sparre Anderson Model and presents multiple equations, including ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Evaluation of Ruin Probabilities
Evaluation of Ruin Probabilities This research paper presents two series formulas for the probability of eventual ... eventual ruin derived by the operational calculus method. From the Actuarial Research Clearing House ...- Authors: Elias Shiu
- Date: Jan 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Equivalence of Reserve Methodologies
Equivalence of Reserve Methodologies This paper considers policies with annual premiums and discusses ... discusses four types of life insurance reserves calculations: curtate, fully continuous, discounted continuous ...- Authors: Keith Sharp, Elias Shiu, Serena Ee Ik Tiong
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Reserves - Life Insurance
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Percentile Of A Deferred Insurance
Percentile Of A Deferred Insurance We present a method to calculate the percentile of the distribution ... distribution of the present value of the death benefit for a continuous deferred whole life Insurance. Death benefits; ...- Authors: Elias Shiu, Ernest R Vogt
- Date: Jan 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Life Insurance
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Power Series of Annuity Coefficients
Series of Annuity Coefficients This paper uses the power series expansions in relation to the annuity ... coefficients presented in the 1987 Actuarial Mathematics textbook. From the Actuarial Research Clearing ...- Authors: Elias Shiu
- Date: Jan 1987
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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DUALITY BETWEEN UNIFORM DEATHS AND BALDUCCI ASSUMPTIONS
UNIFORM DEATHS AND BALDUCCI ASSUMPTIONS This paper on the duality between uniform deaths and Balducci assumptions ... exposure formulas based upon the assumption of the uniform distribution of deaths were analysed.- Authors: Elias Shiu
- Date: Jan 1980
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods