No. |
Title |
Author |
|
1 |
Wang's Capital Allocation Formula for Elliptically-Contoured
Distributions |
Valdez,E. and Chernih, A.(2003) |
|
2 |
On Retirement Income Replacement Ratios. |
Valdez, E. and Chernih, A. (2003) |
|
3 |
Understanding Pension Fund Corporate Engagement in a Global
Arena: A Response. (This paper discusses the following paper
by Gordon Clark and Tessa Hebb. pdf
version . ) |
Evans, J. R |
|
4 |
Change of Measure in Stochastic Volatility Models. View Abstract
|
Bernard Wong and C. C. Heyde (2002) |
|
5 |
Modelling Optimal Retirement Planning: A Simulation Approach
and Application to Japan. (Paper presented to the 9th Finance,
Banking and Insurance Symposium University of Karlsruhe, December
2002.) |
Purcal S. and J Piggott, (2002) |
|
6 |
Continuous Compounding, Volatility and Beta: Review of and
Response to Fitzherbert. (Paper to be presented to the Institute
of Actuaries of Australia Biennial Convention May 2003.) |
Sherris M. and B Wong, (2003) |
|
7 |
Asset Management.(Contribution to appear in the forthcoming
Encyclopedia of Actuarial Science.) |
Sherris M., (2003) |
|
8 |
Arbitrage Portfolios and the Fundamental Theorem of Asset
Pricing. |
Bernard Wong and C. C. Heyde (2003) |
|
9 |
Stochastic Control Theory for Optimal Investment. |
Tina Castillo and Gilbert Parrocha (2003) |
|
10 |
Bounds for Sums of Non-Independent Log-Elliptical Random Variables.
(Paper to be presented at the 7th International Congress on
Insurance: Mathematics & Economics, Lyon, France, June 25
- 27, 2003.) |
Emiliano A. Valdez and Jan Dhaene (2003) |
|
11 |
Stop Loss Pricing in an Economic Environment. (Paper to be
presented at the 7th International Congress on Insurance: Mathematics
& Economics, Lyon, France, June 25 - 27, 2003.) |
Ji-Wook Jang and Bernard Wong (2003) |
|
12 |
The Hidden Cost of Delay in a Credit Loan Portfolio (Paper
to be presented at the 13th International AFIR Colloquium, Maastricht,
Netherlands, 17-19 September 2003.) |
Ji-Wook Jang (2003) |
|
13 |
Equilibrium Insurance Pricing, Market Value of Liabilities,
and Optimal Capitalization. (Paper to be presented at the 13th
International AFIR Colloquium, Maastricht, Netherlands, 17-19
September 2003.) |
Michael Sherris (2003) |
|
14 |
Martingale Approach for Moments of Discounted Aggregate Claims
(published in Journal of Risk and Insurance Vol 71, No. 2, 201-211,
2004) |
Jang, J. (2003) |
|
15 |
The Simple Analytics of a Pooled Annuity Fund (submitted
for publication.) |
John Piggott, Emiliano A. Valdez, and Bettina Detzel. (2003) |
|
16 |
Empirical Estimation of Dependence in a Portfolio of Insurance
Claims -Preliminaries (Paper to be presented at the First Brazilian
Conference on Stochastic Modelling in Insurance and Finance,
Ubatuba, Sao Paulo, Brazil, September
1-6, 2003) |
Emiliano A. Valdez and Andrew Chernih (2003) |
|
17 |
Tail Conditional Expectations for Exponential Dispersion Models
(submitted for publication.) |
Zinoviy Landsman and Emiliano A. Valdez |
|
18 |
Arbitrage-free premium calculation for extreme losses using
the shot noise process and the Esscher transform (published
in Insurance: Mathematics and Economics, Vol. 35, No. 1, 97-111,
2004)
|
Ji-Wook Jang and Yuriy Krvavych |
|
