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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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A Stochastic Definition of Future Shares
A Stochastic Definition of Future Shares This is the abstract of the paper 'A Stochastic Definition of Future Shares'. The traditional definition of actuarial future values and ...- Authors: José Garrido
- Date: Jan 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investments; 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
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An Optimal Model for Asset Liability Management
An Optimal Model for Asset Liability Management This paper addresses the stochastic modeling for managing asset liability process. We start with developing a jump-diffusion process for evaluating ...- Authors: Lijia Guo
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Stochastic models
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On The Numerical Evaluation of Survival Probabilities
On The Numerical Evaluation of Survival Probabilities This paper introduces a new direction for evaluating numerically survival probabilities pointed out by H. Seal in his book ‘Survival ...- Authors: Marc Goovaerts
- Date: Jan 1980
- 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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Non-exponential Bounds on the Tails of Compound Distributions
Non-exponential Bounds on the Tails of Compound Distributions Random sum models with compound distributions are used extensively in modeling of insurance risks. Unfortunately, the compound ...- Authors: Gordon E Willmot, Xiaodong Sheldon Lin
- 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
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The Financial Implications of Finite Ruin Theory
The Financial Implications of Finite Ruin Theory An insurance company starts with an initial surplus, collects premium, pays claims to policyholders and pays dividends to stockholders. What ...- Authors: Glenn Meyers
- Date: Jan 1986
- 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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A Proposed Unified Valuation System
A Proposed Unified Valuation System This is the abstract of the article 'A Proposed Unified Valuation System'. This article will briefly describe some analytical examples of a ...- Authors: David Sandberg
- 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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Martingales and Ruin Probability
Martingales and Ruin Probability In a series papers by Willmot and Lin, both exponential and non-exponential bounds for the tail probability of various compound distributions have been derived.- Authors: Gordon E Willmot, Hailiang Yang
- 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
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Tight Approximation of Basic Characteristics of Classical and Non-Classical Surplus Processes
Tight Approximation of Basic Characteristics of Classical and Non-Classical Surplus Processes We propose asymptotically correct two-sided bounds for random sums where the number of summands has ...- Authors: Vladimir Kalashnikov
- 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