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Actuarial Approach to Option Pricing
Actuarial Approach to Option Pricing In this paper we study the pricing of financial options and contingent claims. We show that two time-honored concepts in actuarial science - the Esscher ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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Non-Parameteric Estimation for Joint Survival Distribution Using Interval-Censoring Technique
Non-Parameteric Estimation for Joint Survival Distribution Using Interval-Censoring Technique In this paper,we present a method which first converges a two dimensional data to a univariate one ...- Authors: Robert Brown, Lijia Guo, Yibing Wang
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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Extreme Value Statistics, Resampling, and Insolvency Testing
Extreme Value Statistics, Resampling, and Insolvency Testing By the use of resampling and extreme value statistics we will develop a method to reduce the time and costs of testing insurance ...- Authors: Steven Craighead
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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On Estimation of Parameters of the Pareto Distribution
On Estimation of Parameters of the Pareto Distribution The two-parameter Pareto distribution is a commonly used model in reliability and risk modeling. Minimum variance unbiased estimates of the ...- Authors: Rohan J Dalpatadu, 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>Estimation methods
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Credibility Using Copulas
Credibility Using Copulas This paper develops credibility using a longitudinal data framework. In a longitudinal data framework, one might encounter data from a cross-section of risk classes ...- 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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Modeling Mortality Risk from Exposure to a Potential Future Extreme Event and Its Impact on Life Insurance
Modeling Mortality Risk from Exposure to a Potential Future Extreme Event and Its Impact on Life Insurance This paper presents the modeling of mortality risk from exposure to a potential future ...- Authors: Samuel Cox, Yungui Hu
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments; Life Insurance
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An Algebraic Reserving Method for Paid Loss Data
An Algebraic Reserving Method for Paid Loss Data Sooner or later a casualty actuary is confronted by the question, Given a history of paid loss amounts by calendar year, what should reserves be? ...- Authors: Alfred Weller
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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Assessing Risk for Insurance Funded by Zero Coupons with Stochastic Interest Rates
Assessing Risk for Insurance Funded by Zero Coupons with Stochastic Interest Rates The investment risk generated by a stochastic interest rate is recognized as often the greatest risk associated ...- Authors: H Tolley, HENRY CONRAD WURTS
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments
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Effective Risk-Based Decision Making: ORSA and Beyond
Effective Risk-Based Decision Making: ORSA and Beyond In this essay, we focus on the “Prospective Solvency Assessment” aspect of the NAIC’s ORSA. This places a spotlight on an insurer’s strategic ...- Authors: Mark Scanlon, Guillaume Briere-Giroux
- Date: May 2012
- Competency: Leadership>Thought leadership; Results-Oriented Solutions; Strategic Insight and Integration
- Topics: Actuarial Profession>Best practices; Enterprise Risk Management; Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments
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On a Formula of Nesbitt
On a Formula of Nesbitt This is a study on the Nesbitt formula and the variants to this formula. Contingencies; 14342 9/15/2008 12:00:00 AM ...- Authors: Elias Shiu
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Actuarial Profession>Professional development; Finance & Investments>Risk measurement - Finance & Investments