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Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/145814
Description: Recurrent event data arise frequently from medical research. Examples include repeated infections, recurrence of tumors, relapse of leukemia, repeated hospitalizations, recurrence of symptoms of a dis ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/93260
Description: We investigate the problem of scheduling a set of jobs to minimize the expected makespan or the variance of the makespan. The jobs are subject to deteriorations which are expressed as linear increment ... More
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Authors: Ferris, S
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/90112
Description: This paper outlines the weaknesses in insurance regulation and supervision, which led to the failure of the Guarantee Security Life Insurance Company in Florida in 1991. There are comparisons to more ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/114662
Description: We investigate two approaches, namely, the Esscher transform and the extended Girsanov’s principle, for option valuation in a discrete-time hidden Markov regime-switching Gaussian model. The model’s p ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/104318
Description: The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Recently, individual claim loss models have ... More
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Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/102462
Description: In this article, we shall explore the state of art of stochastic flows to derive an exponential affine form of the bond price when the short rate process is governed by a Markovian regime-switching ju ... More
Reviewed: Reviewed
Date: 2010
Subject Keyword: 140200 Applied Economics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/102455
Description: 9 page(s)
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/89857
Description: A critical problem in financial and insurance risk analysis is the calculation of risk margins. When there are a number of risks, the total risk margin is often reduced to reflect diversification. How ... More
Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/133084
Description: 7 page(s)
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/114655
Description: Two-sample comparison of survival times with “cured patients” is of major interest and a challenging issue in many areas, particularly in cancer clinical research. Recently, several authors have propo ... More
Reviewed: Reviewed
Date: 2010
Subject Keyword: 010200 Applied Mathematics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/114781
Description: Sensitivity analysis, or so-called ‘stress-testing’, has long been part of the actuarial contribution to pricing, reserving and management of capital levels in both life and non-life assurance. Recent ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/101495
Description: We develop a new exact filter when a hidden Markov chain influences both the sizes and times of a marked point process. An example would be an insurance claims process, where we assume that both the s ... More
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Reviewed: Reviewed
Authors: Ferris, Shauna
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/101795
Description: In 2009, in the aftermath of the Global Financial Crisis, 140 American banks failed–and hundreds of other banks were classified as “problem institutions” by the FDIC. This has led to numerous books an ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper abstract
Identifier: http://hdl.handle.net/1959.14/139749
Description: Purpose: This research analyses the joint behaviour of mortality in different populations, and aims to model their difference and similarities using a joint model. Originality: Existing mortality stud ... More
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/110223
Description: We consider a set of workers’ compensation insurance claim data where the aggregate number of losses (claims) reported to insurers are classified by year of occurrence of the event causing loss, the U ... More
Reviewed: Reviewed