2 papers
q-fin.RM2019
Building and Testing Yield Curve Generators for P&C Insurance
Gary Venter, Kailan Shang
Interest-rate risk is a key factor for property-casualty insurer capital. P&C companies tend to be highly leveraged, with bond holdings much greater than capital. For GAAP capital,…
stat.AP2019
Semiparametric Regression for Dual Population Mortality
Gary Venter, Şule Şahin
Parameter shrinkage applied optimally can always reduce error and projection variances from those of maximum likelihood estimation. Many variables that actuaries use are on numeric…