Journal•ISSN: 0346-1238
Scandinavian Actuarial Journal
Taylor & Francis
About: Scandinavian Actuarial Journal is an academic journal published by Taylor & Francis. The journal publishes majorly in the area(s): Ruin theory & Life insurance. It has an ISSN identifier of 0346-1238. Over the lifetime, 1627 publications have been published receiving 29545 citations.
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TL;DR: In this paper, the authors have studied the efficiency of various methods of estimating the force of mortality and showed that the most efficient of these is, at least for large samples, the one given by the maximum likelihood method, and the rest of them have to be compared to this best estimate.
Abstract: 2.1. Limitations of the parametric methods. In the previous sections we have studied the efficiency of various methods of estimating the force of mortality. The most efficient of these is, at least for large samples, the one given by the maximum likelihood method, and the rest of them have to be compared to this best estimate. However in this discussion the notion of efficiency is based on the assumption that the mortality intensity can be expressed by Makeham’s formula. How realistic is this in practice?
524 citations
TL;DR: In this paper, the authors define a variable V(t) the probability function of a quantity z, which may assume certain real values with certain probabilistic properties, and call V t the probability of z having exactly the value t.
Abstract: 1. By a variable in the sense of the Theory of Probability we mean a quantity z, which may assume certain real values with certain probahilities. We shall call V(t) the probability function of z if, for every real t, V(t) is equal to the probabiliby that z has a value < t, increased by half the probability that z has exactly the value t.
476 citations
TL;DR: In this article, the authors considered continuous-time counterparts of Z and S, and derived the distribution of ∫ exp(γt-σWt )1(0, ∞) (t)dt when W is Brownian motion.
Abstract: If Vk is the discount factor for the kth period, then Z = Σ k⩾1V 1...Vk Ck is the discounted value of a perpetuity paying Ck at time k. In some cases Z is also the limiting distribution of St =Vt (St-1 +Ct-1 ). This paper 1. reviews the literature concerning Z and {St } 2. considers continuous-time counterparts of Z and S, at the same time deriving the distribution of ∫ exp(-γt-σWt )1(0, ∞) (t)dt when W is Brownian motion; 3. gives applications to risk theory and pension funding.
404 citations
TL;DR: In this article, Pearson's test for goodness of fit is dedicated to the memory of Karl Pearson (27 March 1857-27 April 1936) who originated the problem of a test for fit and was first to advance its solution.
Abstract: Dedicated to the memory of Karl Pearson (27 March 1857—27 April 1936) who originated the problem of a test for goodness of fit and was first to advance its solution.
325 citations
TL;DR: In this paper, the authors examined the use of Markoff ebains in a special case of telephone traffic analysis, where the Markoff process was used instead of the traditional Markoff processes in the experiment.
Abstract: Many of the stochastic processes met with in the theory of telephone traffic (and related phenomena) are so complicated that there is a limit to what it is practicabie to find out, theoretically, about the properties that are important to applications. In such cases, the direct, artificial experiment is often resorted to for guidance. The costs of rigging up machinery or employing personnel for carrying through such experiments will usually be considerable. If Markoff ebains can be used instead of Markoff processes in the experiment, it will be possible to employ standard, or slightly re-designed, types of punchcard equipment, or the big electronic calculating machines, whereby the experimenting costs are reduced considerably. In a paper, publisbed in Teleteknik, no. 4 (1952), p. 176, I have described such a procedure as employed in a special case. In the following, a closer examination of the scope of this method shall be made.
317 citations