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  • Pricing and Hedging GMWBs in a Binomial Model

    Pricing and Hedging GMWBs in a Binomial Model This abstract describes a paper that considers the Guaranteed Minimum Withdrawal Benefits (GMWB) variable annuity rider under a static withdrawal ...

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    • Authors: Menachem Wenger, Cody Hyndman
    • Date: Dec 2012
    • Competency: External Forces & Industry Knowledge
    • Topics: Annuities>Variable annuities
  • First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks

    First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks This paper establishes both first-order and second-order asymptotics for the Frechet, Weibull and Gumbel ...

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    • Authors: Fan Yang
    • Date: Dec 2012
    • Competency: External Forces & Industry Knowledge
    • Topics: Enterprise Risk Management>Risk measurement - ERM
  • Multi-State Actuarial Models of Functional Disability

    Multi-State Actuarial Models of Functional Disability This abstract describes a paper that applies generalized linear models to evaluate disability transitions for individuals in old age based on ...

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    • Authors: JOELLE H. FONG, Wenqiang Shao, Michael Sherris
    • Date: Feb 2014
  • Bayesian Foundations of Insurance

    Bayesian Foundations of Insurance This abstract describes a paper that investigates the foundation of insurance in the Bayesian setup. 6442453305 02/01/2014 06:00:00 ...

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    • Authors: Liang Hong, zhihui yang, Ryan Martin
    • Date: Feb 2014
  • Actuarial Job Market: Overcoming the Matthew Effect

    Actuarial Job Market: Overcoming the Matthew Effect This paper presents several projects for actuarial students that are designed to develop specific technical and business skills relevant to ...

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    • Authors: Natalia Humphreys
    • Date: Feb 2014
    • Competency: Professional Values
    • Topics: Actuarial Profession>Professional development
  • PROGRAM REGISTRANTS

    PROGRAM REGISTRANTS List of participants from the 48th Actuarial Research Conference. 6442453328 02/01/2014 06:00:00 ...

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    • Authors: Society of Actuaries
    • Date: Feb 2014
  • Interplay of Insurance and Financial Risks in a Discrete-time Model with Strong Regular Variation

    Interplay of Insurance and Financial Risks in a Discrete-time Model with Strong Regular Variation This abstract describes a paper that focuses on the tail probability of the aggregate risk ...

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    • Authors: Qihe Tang
    • Date: Feb 2014
  • Generalized Linear Models for a Dependent Aggregate Claims Model

    Generalized Linear Models for a Dependent Aggregate Claims Model This abstract describes research that provides an alternative approach for establishing insurance premiums which takes into ...

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    • Authors: Juliana Schulz, José Garrido
    • Date: Feb 2014
  • Portfolio Choice with Life Annuities under Probability Distortion

    Portfolio Choice with Life Annuities under Probability Distortion This abstract describes work that revisits the optimal portfolio model in a financial market with a riskless bond, a risky asset, ...

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    • Authors: Wenyuan Zheng, James Bridgeman
    • Date: Feb 2014
  • Pricing Asian Options: Convergence of Gram-Charlier Series

    Pricing Asian Options: Convergence of Gram-Charlier Series This paper studies the theoretical and numerical convergence of Gram-Charlier series applied to the pricing of Asian options.

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    • Authors: Daniel Dufresne, Han-Bo Li
    • Date: Apr 2016
    • Competency: External Forces & Industry Knowledge
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