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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 ...- Authors: Menachem Wenger, Cody Hyndman
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Annuities>Variable annuities
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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 ...- Authors: Fan Yang
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Risk measurement - ERM
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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 ...- Authors: JOELLE H. FONG, Wenqiang Shao, Michael Sherris
- Date: Feb 2014
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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 ...- Authors: Liang Hong, zhihui yang, Ryan Martin
- Date: Feb 2014
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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 ...- Authors: Natalia Humphreys
- Date: Feb 2014
- Competency: Professional Values
- Topics: Actuarial Profession>Professional development
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PROGRAM REGISTRANTS
PROGRAM REGISTRANTS List of participants from the 48th Actuarial Research Conference. 6442453328 02/01/2014 06:00:00 ...- Authors: Society of Actuaries
- Date: Feb 2014
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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 ...- Authors: Qihe Tang
- Date: Feb 2014
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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 ...- Authors: Juliana Schulz, José Garrido
- Date: Feb 2014
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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, ...- Authors: Wenyuan Zheng, James Bridgeman
- Date: Feb 2014
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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.- Authors: Daniel Dufresne, Han-Bo Li
- Date: Apr 2016
- Competency: External Forces & Industry Knowledge