Non-linear time series models for actuarial use


Grant Data
Project Title
Non-linear time series models for actuarial use
Principal Investigator
Dr Chan, Wai Sum   (Principal investigator)
Co-Investigator(s)
Dr Wong Chun Shan   (Co-Investigator)
Duration
13
Start Date
2001-05-01
Completion Date
2002-05-31
Amount
54600
Conference Title
Presentation Title
Keywords
actuarial
Discipline
Others - Physical Sciences
Grant Type
Actuarial Education and Research Fund
Funding Year
2000/2001
Status
Completed
Objectives
To introduce actuaries to some advanced nonlinear time-series techniques that might be useful in building stochastic models for pricing and reserving; to illustrate these techniques step-by-step so that actuaries or actuarial students not expert in this area can still perform the procedures.