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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 ... the actuarial literature. Risk theory; 800 1/1/2000 12:00:00 AM ...- 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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Principle-Based Reserves and LTC Insurance Innovation
create a new frame- work for reserves and capital for U.S. life insurers. The American Academy of Actuaries ... project to fruition. The life insurance and annuity product lines have been leading the charge on ...- Authors: Allen J Schmitz
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Leadership>Professional network leverage; Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Long-Term Care News
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Risk measurement - Finance & Investments; Financial Reporting & Accounting>Statutory accounting; Long-term Care>Long-term care insurance; Modeling & Statistical Methods>Stochastic models
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Martingales and Ruin Probability
and then use it to give a short proof of Lundb(ng s inequality. Theorem 1.1. Let X = (X,,)n~r be a sub-martingale ... E(X~ +) < E(iXN]). (1) A.P( ,nax X,, > A) < E(XN : u<,<N o _ < , , < N - - - - _ _ - - - - - - ...- 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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Non-exponential Bounds on the Tails of Compound Distributions
Pr (X=n)=p~, n = 0 ,1 ,2 , . . . . (1) Let S = X 1 + X 2 -1- . . . + X N (2) We are interested ... in estimating the tail probability (~,(x) = Pr (S > x), x > O, 3) which has applications in many ...- 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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C3 Phase II – Practical Insights for this Year End
C3 Phase II – Practical Insights for this Year End A discussion of the possible effort ... calculations recently performed by a consulting firm. Annuity valuation;Capital markets=Stock market;Guaranteed ...- Authors: Timothy J Ruark
- Date: Dec 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: The Financial Reporter
- Topics: Annuities>Capital - Annuities; Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Stochastic models; Public Policy
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Premium Calculations by Transformed Distributions
For a class 7~ of all risks, a premium principle u is a mapping 7r : T~ ---~ R, which means that ... The zero util ity principle : Definit ion 7 Let u(.) be a utility function. The 7r(X, f ) calculated ...- Authors: Abdul Sharif
- 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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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 ... method of computing the probability distribution of S. Inversion of the Laplace transform moment generating ...- 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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Credibility Using Copulas
⎜⎜⎝ ⎛ +−= ),S(bexp),p( φφ it ititit itit y θθy θy . Here, the functions b(.) and S(.,.) are chosen ... explanatory variables. 3.1 Descriptive statistics Table 1 displays the descriptive statistics for average ...- Authors: Edward Frees, PING WANG
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models
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How to Prevent the Big Mistake
of those entities that possess guaranteed mortality death bene- fit (GMDB) risk have been well documented; ... regulatory require- ment. It can be argued that the U.S. indus- try’s troubles with GMDB started with enterprising ...- Authors: Edward Betteto
- Date: Mar 2003
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Big picture view; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Reinsurance News
- Topics: Enterprise Risk Management; Finance & Investments>Asset liability management; Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
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A Loss Reserving Model within the framework of Generalized Linear Models
Example 2.1 GLMs commonly used in insurance data Table 1 below gives the different model components of ... m my ) Link g identity reciprocal log logit Table 1: GLM Examples Additional examples include inverse ...- Authors: José Garrido, JUN ZHOU
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods; Modeling & Statistical Methods>Stochastic models