Article Results (Showing 1 - 5 of 5) RSS Alert
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"A Note on the Myers and Read Capital Allocation Formula" Stephen J. Mildenhall, April 2004
The purpose of this discussion is to point out some credit to my compatriot Leonhard Euler (1707-1783). In fact, the two Technical Lemmas in the...
North American Actuarial Journal, 01/01/05 by Gerber, Hans U · More from publication -
"Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process"
"Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process" Yebin Cheng and Qihe Tang, January 2003 Mr. Cheng and...
North American Actuarial Journal, 07/01/03 by Gerber, Hans U; Shiu, Elias S W; Li, Shuanming; Lin, Xiaodong Sheldon · More from publication -
Geometric Brownian motion models for assets and liabilities: From pension funding to optimal dividends
ABSTRACT In this paper asset and liability values are modeled by geometric Brownian motions. In the first part of the paper we consider a pension...
North American Actuarial Journal, 07/01/03 by Gerber, Hans U; Shiu, Elias S W · More from publication -
Pricing perpetual fund protection with withdrawal option
ABSTRACT Consider an American option that provides the amount if it is exercised at time t, t > or = 0. For simplicity of language, we interpret...
North American Actuarial Journal, 04/01/03 by Gerber, Hans U; Shiu, Elias S W · More from publication -
Indicator function and Hattendorff theorem
ABSTRACT This paper presents an integration-by-parts proof of the Hattendorff theorem in the general fully continuous insurance model. The proof...
North American Actuarial Journal, 01/01/03 by Gerber, Hans U; Leung, Bartholomew P K; Shiu, Elias S W · More from publication
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