Description: This is the abstract of a paper that complements the existing research on optimal reinsurance by proposing another model for the determination of the optimal reinsurance design.

Description: This abstract describes a paper that studies Gerber-Shiu functions and dividend payments in an insurance risk model driven by a spectrally negative Levy process of bounded variation.

Description: Abstracts of various papers published in ARCH 1983 Vol. 1

Description: This abstract describes a paper that proposes a Bayesian hierarchical model to analyze intercompany claim triangles.

Description: Abstract for the paper which gives a unified approach to modern credibility models by using the theory of estimating functions.

Description: The zeta distribution with regression parameters has been rarely used in statistics because of the difficulty of estimating the parameters by traditional maximum likelihood. This is the abstract of a paper that proposes an alternative method for estimating the parameters based on an iteratively reweighted least-squares algorithm.

Description: Mortality rates for a local community are desired in conjunction with the calculation of health-adjusted life expectancy HALE, an indicator of population health.

Description: Several authors have used Fourier inversion to compute prices of puts and calls, some using Parseval’s theorem. The expected value of max[S K,0] also arises in excess-of-loss of stop-loss insurance. This is the abstract of a paper that shows that Fourier methods may be used to compute them. The authors take the idea of using Parseval’s theorem further: 1. formulas requiring weaker assumptions, 2. relationship with classical inversion theorems for probability distributions, 3. formulas for pay-offs which occur in insurance. Numerical examples are provided.

Description: This is the abstract of a paper that derives expressions for the moments of the distribution of the option payoff in a Black Scholes economy. These results are of interest from a purely statistical viewpoint. They may also be of interest given the current importance of value at risk calculations. The paper also derives formulae for the moments of barrier options and provides numerical examples.