Practical Risk Theory for ActuariesCRC Press, 1 gru 1993 - 576 This classic textbook covers all aspects of risk theory in a practical way. It builds on from the late R.E. Beard's extremely popular book Risk Theory, but features more emphasis on simulation and modeling and on the use of risk theory as a practical tool. Practical Risk Theory is a textbook for practicing and student actuaries on the practical aspects of stochastic modeling of the insurance business. It has its roots in the classical theory of risk but introduces many new elements that are important in managing the insurance business but are usually ignored in the classical theory. The authors avoid overcomplicated mathematics and provide an abundance of diagrams. |
Spis treści
The number of claims | 30 |
The amount of claims | 55 |
Calculation of a compound claim d f F | 119 |
Simulation | 137 |
Applications involving shortterm claim fluctuation | 155 |
PART TWO STOCHASTIC ANALYSIS | 209 |
Investment | 226 |
Claims with an extended time horizon | 277 |
Managing uncertainty | 369 |
Life insurance | 408 |
Pension schemes | 435 |
APPENDICES | 452 |
B Pólya and Gamma distributions | 459 |
E Derivation of the recursion formula for F | 465 |
G Time series | 476 |
H Portfolio selection | 488 |
Premiums | 310 |
Expenses taxes and dividends | 320 |
The insurance process | 327 |
Applications to longterm processes | 357 |
Bibliography | 514 |
526 | |
544 | |
Inne wydania - Wyświetl wszystko
Practical Risk Theory for Actuaries C.D. Daykin,T. Pentikainen,Martti Pesonen Ograniczony podgląd - 1993 |
Practical Risk Theory for Actuaries C.D. Daykin,T. Pentikainen,Martti Pesonen Podgląd niedostępny - 1993 |
Kluczowe wyrazy i wyrażenia
actuarial aggregate claim amount analysis applications approach approximation assets assumed calculated cedant's Chapter claim size d.f. claim size distribution coefficient cohort compound mixed Poisson condition cycles Daykin defined denoted derived deterministic dividend yield dividends equation equity estimate evaluation example excess of loss Exercise expected number expected value function factor Figure fluctuation formula gamma distribution increase inflation insurance company Jensen inequality kurtosis liabilities limited expected value loss reinsurance methods mixed Poisson variable mixing variable normal normally distributed number of claims obtained outcomes parameters Pareto Pareto distribution pension Pentikäinen period policies policyholders portfolio premium income probability problem profit quota share random numbers random variable rate of inflation rate of return reinsurance treaty relevant result retention limit risk premium risk theory risk unit run-off safety loading simulation skewness solvency margin solvency ratio standard deviation stochastic stochastic process term variance Wilkie