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Economics - Research Publications
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ItemOn the distribution of the deficit at ruin when claims are phase-typeDrekic, S ; DICKSON, D ; Stanford, DA ; Willmot, GE ( 2005)
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ItemRegime switching in the relationship between equity returns and short-term interest rates in the UKHenry, OT (ELSEVIER SCIENCE BV, 2009-02)
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ItemFAST SENSITIVITY COMPUTATIONS FOR MONTE CARLO VALUATION OF PENSION FUNDSJoshi, M ; Pitt, D (PEETERS, 2010-11)
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ItemEffective Implementation of Generic Market ModelsJOSHI, M. ; LIESCH, L. ( 2007)
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ItemOptimal dynamic reinsuranceDICKSON, D. ; WATERS, H. ( 2006)
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ItemDeviations from uncovered interest parity in MalaysiaGoh, SK ; Lim, GC ; Olekalns, N (Informa UK Limited, 2006-06-15)
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ItemSome Finite Time Ruin ProblemsDickson, DCM (Cambridge University Press (CUP), 2007-09)ABSTRACT In the classical risk model, we use probabilistic arguments to write down expressions in terms of the density function of aggregate claims for joint density functions involving the time to ruin, the deficit at ruin and the surplus prior to ruin. We give some applications of these formulae in the cases when the individual claim amount distribution is exponential and Erlang(2).
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ItemOptimal Dividends Under a Ruin Probability ConstraintDickson, DCM ; Drekic, S (Cambridge University Press (CUP), 2006-09)ABSTRACT We consider a classical surplus process modified by the payment of dividends when the insurer's surplus exceeds a threshold. We use a probabilistic argument to obtain general expressions for the expected present value of dividend payments, and show how these expressions can be applied for certain individual claim amount distributions. We then consider the question of maximising the expected present value of dividend payments subject to a constraint on the insurer's ruin probability.
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ItemModelling the Claim Duration of Income Protection Insurance Policyholders using Parametric Mixture ModelsPitt, DGW (Cambridge University Press (CUP), 2007-03)ABSTRACT This paper considers the modelling of claim durations for existing claimants under income protection insurance policies. A claim is considered to be terminated when the claimant returns to work. Data used in the analysis were provided by the Life and Risk Committee of the Institute of Actuaries of Australia. Initial analysis of the data suggests the presence of a long-run probability, of the order of 7%, that a claimant will never return to work. This phenomenon suggests the use of mixed parametric regression models as a description of claim duration which include the prediction of a long-run probability of not returning to work. A series of such parametric mixture models was investigated, and it was found that the generalised F mixture distribution provided a good fit to the data and also highlighted the impact of a number of statistically significant predictors of claim duration.