Loss Models

From Data to Decisions

Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot - Collection Wiley Series in Probability and Statistics

720 pages, parution le 17/11/2004 (2^eme édition)

Ajouter à une liste

Indisponible

Résumé

Revised, updated, and even more useful to students, teachers, and practicing professionals

The First Edition of Loss Models was deemed "worthy of classical status" by the Journal of the International Statistical Institute. While retaining its predecessor's thorough treatment of the concepts and methods of analyzing contingent events, this powerful Second Edition is updated and expanded to offer even more complete and flexible coverage of risk theory, loss distributions, and survival models.

Beginning with a framework for model building and a description of frequency and severity loss data typically available, it shows readers how to combine frequency, severity, and loss models to build aggregate loss models and credibility-based pricing models, and how to analyze loss over multiple time periods. Important features of this new edition include:

Thorough preparation for relevant parts of preliminary examinations of the Society of Actuaries (SOA) and Casualty Actuarial Society (CAS)
Exercises based on past SOA and CAS exams
Examples using actual insurance data
Practical treatment of modern credibility theory
Data files and more from an ftp site

Loss Models, Second Edition is an important resource, providing a comprehensive, practically motivated toolkit and an excellent reference, for actuaries preparing for SOA and CAS preliminary examinations, students in actuarial science who need to understand loss and risk models, and practicing professionals involved in loss modeling.

L'auteur - Harry H. Panjer

Harry H. Panjer, PHD, FSA, FCIA, HonFIA, is Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Ontario, Canada. He is past president of both the Canadian Institute of Actuaries and the Society of Actuaries, and he has published numerous articles and books on the subject of risk modeling over the years in the fields of finance and actuarial science.

Sommaire

Introduction
Modeling
Actuarial Models
- Random Variables
- Basic Distributional Quantities
- Classifying and Creating Distributions
- Frequency and Severity with Coverage Modifications
- Aggregate Loss Models
- Discrete Time Ruin Models
- Continuous Time Ruin Models
Construction of Empirical Models
- Review of Mathematical Statistics
- Estimation for Complete Data
- Estimation for Modified Data
Parametric Statistical Methods
- Parameter Estimation
- Model Selection
- Five Examples
Adjusted Estimates and Simulation
- Interpolation and Smoothing
- Credibility
- Simulation
- Appendix A: An Inventory of Continuous Distributions
- Appendix B: An Inventory of Discrete Distributions
- Appendix C: Frequency and Severity Relationships
- Appendix D: The Recursive Formula
- Appendix E: Discretization of the Serverity Distribution
- Appendix F: Numerical Optimization and Solution of Systems

Voir tout

Replier

Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot
Collection	Wiley Series in Probability and Statistics
Parution	17/11/2004
Édition	2^eme édition
Nb. de pages	720
Format	16 x 24
Couverture	Relié
Poids	1115g
Intérieur	Noir et Blanc
EAN13	9780471215776
ISBN13	978-0-471-21577-6