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Distribution and Quantile Estimates for Parametric and Non-parametric Models on Value at Risk
Distribution and Quantile Estimates for Parametric and Non-parametric Models on Value at Risk This paper compares percentile estimates of a large number of cash flow testing scenarios, where only ...- Authors: Beda Chan
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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DISCONTINUITY AT THE BOUNDARY
DISCONTINUITY AT THE BOUNDARY To solve multiple choice problems by elimination, one approach is to study values of functions at the boundary. In this note, the author shows by examples that the ...- Authors: Beda Chan
- Date: Jan 1980
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Approximations of Ruin Probability by Tri-atomic or Tri-Exponential Claims
Approximations of Ruin Probability by Tri-atomic or Tri-Exponential Claims We find the necessary and sufficient conditions for fitting five given moments by a triatomic distribution. We consider ...- Authors: Beda Chan
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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Approximations of Ruin Probability by Di-atomic or Di-exponential Claims
Approximations of Ruin Probability by Di-atomic or Di-exponential Claims In this paper, given the three moments of the claim amount, the authors find the di-atomic and the di-exponential ...- Authors: Beda Chan, Josh Babier
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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An Actuarial Model for AIDS when Transition Intensities Follow Jump-diffusion Processes
An Actuarial Model for AIDS when Transition Intensities Follow Jump-diffusion Processes This paper considers several features in a model that experiences gradual drifts and jumps for prevalence ...- Authors: Beda Chan
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods