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Author : Yiu-Kuen Tse
Publisher : Cambridge University Press
Page : 551 pages
File Size : 47,45 MB
Release : 2023-04-30
Category : Business & Economics
ISBN : 1009315072
This class-tested undergraduate textbook covers the entire syllabus for Exam C of the Society of Actuaries (SOA).
Author : Yiu-Kuen Tse
Publisher : Cambridge University Press
Page : 541 pages
File Size : 41,78 MB
Release : 2009-09-17
Category : Business & Economics
ISBN : 0521764653
This class-tested undergraduate textbook covers the entire syllabus for Exam C of the Society of Actuaries (SOA).
Author : Yiu-Kuen Tse
Publisher :
Page : 542 pages
File Size : 39,5 MB
Release : 2014-05-14
Category : Business & Economics
ISBN : 9780511651984
This class-tested undergraduate textbook covers the entire syllabus for Exam C of the Society of Actuaries (SOA).
Author : Esbjörn Ohlsson
Publisher : Springer Science & Business Media
Page : 181 pages
File Size : 28,99 MB
Release : 2010-03-18
Category : Mathematics
ISBN : 3642107915
Non-life insurance pricing is the art of setting the price of an insurance policy, taking into consideration varoius properties of the insured object and the policy holder. Introduced by British actuaries generalized linear models (GLMs) have become today a the standard aproach for tariff analysis. The book focuses on methods based on GLMs that have been found useful in actuarial practice and provides a set of tools for a tariff analysis. Basic theory of GLMs in a tariff analysis setting is presented with useful extensions of standarde GLM theory that are not in common use. The book meets the European Core Syllabus for actuarial education and is written for actuarial students as well as practicing actuaries. To support reader real data of some complexity are provided at www.math.su.se/GLMbook.
Author : Michel Denuit
Publisher : John Wiley & Sons
Page : 458 pages
File Size : 43,44 MB
Release : 2006-05-01
Category : Business & Economics
ISBN : 0470016442
The increasing complexity of insurance and reinsurance products has seen a growing interest amongst actuaries in the modelling of dependent risks. For efficient risk management, actuaries need to be able to answer fundamental questions such as: Is the correlation structure dangerous? And, if yes, to what extent? Therefore tools to quantify, compare, and model the strength of dependence between different risks are vital. Combining coverage of stochastic order and risk measure theories with the basics of risk management and stochastic dependence, this book provides an essential guide to managing modern financial risk. * Describes how to model risks in incomplete markets, emphasising insurance risks. * Explains how to measure and compare the danger of risks, model their interactions, and measure the strength of their association. * Examines the type of dependence induced by GLM-based credibility models, the bounds on functions of dependent risks, and probabilistic distances between actuarial models. * Detailed presentation of risk measures, stochastic orderings, copula models, dependence concepts and dependence orderings. * Includes numerous exercises allowing a cementing of the concepts by all levels of readers. * Solutions to tasks as well as further examples and exercises can be found on a supporting website. An invaluable reference for both academics and practitioners alike, Actuarial Theory for Dependent Risks will appeal to all those eager to master the up-to-date modelling tools for dependent risks. The inclusion of exercises and practical examples makes the book suitable for advanced courses on risk management in incomplete markets. Traders looking for practical advice on insurance markets will also find much of interest.
Author : Michel Denuit
Publisher : John Wiley & Sons
Page : 384 pages
File Size : 30,4 MB
Release : 2007-07-27
Category : Mathematics
ISBN : 9780470517413
There are a wide range of variables for actuaries to consider when calculating a motorist’s insurance premium, such as age, gender and type of vehicle. Further to these factors, motorists’ rates are subject to experience rating systems, including credibility mechanisms and Bonus Malus systems (BMSs). Actuarial Modelling of Claim Counts presents a comprehensive treatment of the various experience rating systems and their relationships with risk classification. The authors summarize the most recent developments in the field, presenting ratemaking systems, whilst taking into account exogenous information. The text: Offers the first self-contained, practical approach to a priori and a posteriori ratemaking in motor insurance. Discusses the issues of claim frequency and claim severity, multi-event systems, and the combinations of deductibles and BMSs. Introduces recent developments in actuarial science and exploits the generalised linear model and generalised linear mixed model to achieve risk classification. Presents credibility mechanisms as refinements of commercial BMSs. Provides practical applications with real data sets processed with SAS software. Actuarial Modelling of Claim Counts is essential reading for students in actuarial science, as well as practicing and academic actuaries. It is also ideally suited for professionals involved in the insurance industry, applied mathematicians, quantitative economists, financial engineers and statisticians.
Author : Arthur Charpentier
Publisher : CRC Press
Page : 652 pages
File Size : 27,13 MB
Release : 2014-08-26
Category : Business & Economics
ISBN : 1498759823
A Hands-On Approach to Understanding and Using Actuarial ModelsComputational Actuarial Science with R provides an introduction to the computational aspects of actuarial science. Using simple R code, the book helps you understand the algorithms involved in actuarial computations. It also covers more advanced topics, such as parallel computing and C/
Author : Rob Kaas
Publisher : Springer Science & Business Media
Page : 394 pages
File Size : 12,57 MB
Release : 2008-12-03
Category : Business & Economics
ISBN : 3540867368
Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility theory, individual and collective model and basic ruin theory. Other topics are risk measures and premium principles, bonus-malus systems, ordering of risks and credibility theory. It also contains some chapters about Generalized Linear Models, applied to rating and IBNR problems. As to the level of the mathematics, the book would fit in a bachelors or masters program in quantitative economics or mathematical statistics. This second and.
Author : Piet de Jong
Publisher : Cambridge University Press
Page : 207 pages
File Size : 23,82 MB
Release : 2008-02-28
Category : Business & Economics
ISBN : 1139470477
This is the only book actuaries need to understand generalized linear models (GLMs) for insurance applications. GLMs are used in the insurance industry to support critical decisions. Until now, no text has introduced GLMs in this context or addressed the problems specific to insurance data. Using insurance data sets, this practical, rigorous book treats GLMs, covers all standard exponential family distributions, extends the methodology to correlated data structures, and discusses recent developments which go beyond the GLM. The issues in the book are specific to insurance data, such as model selection in the presence of large data sets and the handling of varying exposure times. Exercises and data-based practicals help readers to consolidate their skills, with solutions and data sets given on the companion website. Although the book is package-independent, SAS code and output examples feature in an appendix and on the website. In addition, R code and output for all the examples are provided on the website.
Author : Edward W. Frees
Publisher : Cambridge University Press
Page : 585 pages
File Size : 11,52 MB
Release : 2010
Category : Business & Economics
ISBN : 0521760119
This book teaches multiple regression and time series and how to use these to analyze real data in risk management and finance.