Practical Risk Theory for Actuaries
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.
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The number of claims
The amount of claims
Calculation of a compound claim d f F
Applications involving shortterm claim fluctuation
PART TWO STOCHASTIC ANALYSIS
Claims with an extended time horizon
B P6lya and Gamma distributions
E Derivation of the recursion formula for F
G Time series
H Portfolio selection
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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 compound Poisson distribution condition corresponding 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 given increase inflation 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 distribution pension Pentikainen period policies policyholders portfolio practice premium income probability problem profit quota share random numbers random variable rate of inflation 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 yield
Statistical Analysis of Extreme Values: with Applications to Insurance ...
Rolf-Dieter Reiss,Michael Thomas
Ograniczony podgląd - 2007
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