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A quantitative comparison of simulation strategies for mortality projection
Li, Jackie - In: Annals of actuarial science : publ. by the Institute of … 8 (2014) 2, pp. 281-297
Persistent link: https://www.econbiz.de/10010422180
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On the effectiveness of natural hedging for insurance companies and pension plans
Li, Jackie; Haberman, Steven - In: Insurance / Mathematics & economics 61 (2015), pp. 286-297
Persistent link: https://www.econbiz.de/10010515868
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Bayesian optimization allowing for common random numbers
Pearce, Michael Arthur Leopold; Poloczek, Matthias; … - In: Operations research 70 (2022) 6, pp. 3457-3472
Persistent link: https://www.econbiz.de/10014307875
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On Ratios of Random Variables and Generalised Mortality Rates
Roberts, Leigh - 2009
We find the distribution function of a ration of dependent random variables which can represent a generalised mortality … depend in a simple way on the minimum number of entrants into the mortality investigation …
Persistent link: https://www.econbiz.de/10013153252
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On the approximation of random variables by stochastic integrals with respect to semimartingales
Christopeit, Norbert - 1994
Persistent link: https://www.econbiz.de/10000891108
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Approximating random variables by stochastic integrals
Schweizer, Martin - 1993
Persistent link: https://www.econbiz.de/10000880244
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Essays on risk measures and stochastic dependence : with applications to insurance and finance
Laeven, Roger Jean Auguste - 2005
Persistent link: https://www.econbiz.de/10003158080
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The maximum entropy distribution for stochastically ordered random variables with fixed marginals
Kiefer, Nicholas M. (contributor) - 2009
Stochastically ordered random variables with given marginal distributions are combined into a joint distribution preserving the ordering and the marginals using a maximum entropy formulation. A closed-form expression is obtained. An application is in default estimation for different portfolio...
Persistent link: https://www.econbiz.de/10003810175
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Uniformly efficient importance sampling for the tail distribution of sums of random variables
Glasserman, Paul; Juneja, Sandeep - In: Mathematics of operations research 33 (2008) 1, pp. 36-50
Persistent link: https://www.econbiz.de/10003687581
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Inverse Gaussian random variables with application to price indices
Nadarajah, Saralees; Kotz, Samuel - In: Applied economics letters 14 (2007) 7/9, pp. 673-677
Persistent link: https://www.econbiz.de/10003512306