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Finite-time ruin problems in Sparre Andersen models with arbitrary interclaim times
Finite-time ruin problems in Sparre Andersen models with arbitrary interclaim times This abstract describes a paper that obtains a closed-form expression for ruin quantity. Ruin;Sparre Andersen; ...- Authors: Gordon E Willmot, David Landriault, Tianxiang Shi
- Date: Jul 2010
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Actuarial Applications of the Linear Hazard Transform in Mortality Fitting and Prediction
Actuarial Applications of the Linear Hazard Transform in Mortality Fitting and Prediction This abstract describes a paper that studies actuarial applications of the linear hazard transform in ...- Authors: Chi-Liang Tsai, Lingzhi Jiang
- Date: Jul 2010
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Optimal Asset Allocation for Endowment Management
Optimal Asset Allocation for Endowment Management This abstract describes a paper that proposes a quantitative framework which jointly considers the endowment spending policy and the asset ...- Authors: Rina Ashkenazi
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments>Asset allocation
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Modeling and Forecasting Mortality Rates
Modeling and Forecasting Mortality Rates This abstract describes a paper that shows that by modeling the time series of mortality rate changes rather than mortality rate levels, human mortality ...- Authors: Patrick L Brockett
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Experience Studies & Data>Mortality
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Model Selection in Regime-switching Models of Various Types
Model Selection in Regime-switching Models of Various Types This abstract describes a paper that investigates how to best choose a model from a flexible set of regime-switching models where the ...- Authors: Brian Hartman
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Modeling & Statistical Methods>Asset modeling
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Loss Given Default in the Presence of Multivariate Regular Variation. Part 2: Main Results
Loss Given Default in the Presence of Multivariate Regular Variation. Part 2: Main Results This abstract describes a paper that proposes a new model for the loss given default (LGD), which takes ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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TIPS, the Triple Duration, and the OPEB Liability: Hedging Medical Care Inflation in OPEB Plans
TIPS, the Triple Duration, and the OPEB Liability: Hedging Medical Care Inflation in OPEB Plans This abstract describes a paper that illustrates that the true exposure to an OPEB plan is to the ...- Authors: Michael Ashton
- Date: Feb 2014
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The Distribution of Aggregate Life Insurance Claims: The Gamma-Exponential Mix Model
The Distribution of Aggregate Life Insurance Claims: The Gamma-Exponential Mix Model This abstract describes a paper that demonstrates the calculation of parameters for a Gamma-Exponential Mix ...- Authors: Thomas Edwalds, Ross Hilton
- Date: Feb 2014
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Option Pricing Without Tears: Valuing Equity-Linked Death Benefits
Option Pricing Without Tears: Valuing Equity-Linked Death Benefits This abstract describes a presentation that shows that, if the options or guarantees are exercisable only at the moment of death ...- Authors: Elias Shiu, Hailiang Yang, Hans U Gerber
- Date: Feb 2014
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A Virtual Climate Library of Surface Temperature over North
A Virtual Climate Library of Surface Temperature over North This abstract describes a paper that produces a high-resolution, 100-member simulation of surface atmospheric temperature over North ...- Authors: Vytaras Brazauskas, Paul Roebber
- Date: Apr 2018
- Competency: External Forces & Industry Knowledge
- Topics: Modeling & Statistical Methods