469 research outputs found
The Hachemeister Regression Model
In this article we will obtain, just like in the case of classical credibility model, a credibility solution in the form of a linear combination of the individual estimate (based on the data of a particular state) and the collective estimate (based on aggregate USA data). Mathematics Subject Classification: 62P05.linearized regression credibility premium, the structural parameters, unbiased estimators.
Explicit Description of the Input Data for the Program CRAC 2.0 Used in the Applications of the Credibility Theory
In this paper a brief overview of the structure and the possibilities of the program CRAC 2.0 is given. It will be shown how sectors can be determined in order to use the hierarchical model that is built into the software. Furthermore a general structure for defining insurance problems to be solved by CRAC 2.0 will be discussed. Mathematics Subject Classification: 62P05.the software package CRAC 2.0, Jewell’s hierarchical model, practical insurance problems, structure of CRAC – input.
Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
In this paper we study the optimal management of an aggregated pension fund of defined benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can invest in a savings account, in a risky stock and in a bond, with the aim of minimizing deviations of the unfunded actuarial liability from zero along a finite time horizon. We solve the problem by means of optimal stochastic control techniques and analyze the influence on the optimal solution of some of the parameters involved in the model.Pension funds, Stochastic control, Optimal portfolio, Stochastic interest rate, 91B28, 93E20, 62P05, 60H10, 60J60, E13, B81
LIBOR additive model calibration to swaptions markets
In the current paper, we introduce a new calibration methodology for the LIBOR market model
driven by LIBOR additive processes based in an inverse problem. This problem can be splitted
in the calibration of the continuous and discontinuous part, linking each part of the problem
with at-the-money and in/out -of -the-money swaption volatilies. The continuous part is based
on a semidefinite programming (convex) problem, with constraints in terms of variability or
robustness, and the calibration of the LĂ©vy measure is proposed to calibrate inverting the
Fourier Transform
Sensitivity Analysis of Some Applied Probability Models
2000 Mathematics Subject Classi cation: Primary 90C31. Secondary 62C12, 62P05, 93C41.The aim of the paper is two-fold, namely, to give a brief survey of sensitivity analysis methods and to use them for investigation of two input-output models arising in applied probability.The research was partially supported by RBRF grant 07-01-0036
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